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Database and Methods
new 02-08-2025
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Managed Volatility
portfolio_name: - beta_brasil risk_target: - ibovfut_av: 2 - brlusdfut_av: 1 - dif3yfut_av: 2 allocation method: - vol running allocation...
clusters_weights_resampled
| smll_av | brlusdfut_av | dif3yfut_av | |
|---|---|---|---|
| 1998-12-31 | 0.511317 | 0.340248 | 0.478290 |
| 1999-01-28 | 0.494910 | 0.117648 | 0.437679 |
| 1999-02-25 | 0.492232 | 0.116226 | 0.442523 |
| 1999-03-25 | 0.480166 | 0.114722 | 0.442452 |
| 1999-04-29 | 0.483165 | 0.113492 | 0.441889 |
| ... | ... | ... | ... |
| 2025-03-27 | 0.609365 | 0.277898 | 0.492721 |
| 2025-04-24 | 0.588975 | 0.270443 | 0.490933 |
| 2025-05-29 | 0.588138 | 0.271228 | 0.500357 |
| 2025-06-26 | 0.591941 | 0.276001 | 0.518153 |
| 2025-07-31 | 0.576859 | 0.282246 | 0.526406 |
320 rows × 3 columns
clusters_weights
| smll_av | brlusdfut_av | dif3yfut_av | cdi | |
|---|---|---|---|---|
| date | ||||
| 1998-12-31 | 0.511317 | 0.340248 | 0.478290 | -0.329855 |
| 1999-01-01 | 0.511318 | 0.340247 | 0.478291 | -0.329856 |
| 1999-01-04 | 0.507028 | 0.344513 | 0.475216 | -0.326758 |
| 1999-01-05 | 0.503329 | 0.347161 | 0.473557 | -0.324047 |
| 1999-01-06 | 0.501633 | 0.347617 | 0.473380 | -0.322631 |
| ... | ... | ... | ... | ... |
| 2025-07-28 | 0.583327 | 0.281609 | 0.528702 | -0.393638 |
| 2025-07-29 | 0.580577 | 0.281181 | 0.528932 | -0.390690 |
| 2025-07-30 | 0.584039 | 0.279832 | 0.524403 | -0.388275 |
| 2025-07-31 | 0.576859 | 0.282246 | 0.526406 | -0.385510 |
| 2025-08-01 | 0.572869 | 0.282854 | 0.527475 | -0.383198 |
6937 rows × 4 columns
clusters_weights (pack_only)
| dif3yfut | usdbrlfut | smal11_excdi | cdi | |
|---|---|---|---|---|
| date | ||||
| 1998-12-31 | 0.184039 | -3.892852 | 0.000000 | 1.0 |
| 1999-01-01 | 0.190262 | -3.950090 | 0.000000 | 1.0 |
| 1999-01-04 | 0.189039 | -3.999551 | 0.000000 | 1.0 |
| 1999-01-05 | 0.188372 | -4.012046 | 0.000000 | 1.0 |
| 1999-01-06 | 0.188271 | -4.008558 | 0.000000 | 1.0 |
| ... | ... | ... | ... | ... |
| 2025-07-28 | 1.052535 | -0.254412 | 0.271806 | 1.0 |
| 2025-07-29 | 1.053655 | -0.253965 | 0.273050 | 1.0 |
| 2025-07-30 | 1.044527 | -0.253344 | 0.272807 | 1.0 |
| 2025-07-31 | 1.049492 | -0.255533 | 0.257064 | 1.0 |
| 2025-08-01 | 1.056477 | -0.256471 | 0.255167 | 1.0 |
6937 rows × 4 columns
securities_weights
| dif3yfut | usdbrlfut | smal11_excdi | cdi | |
|---|---|---|---|---|
| date | ||||
| 1998-12-31 | 0.184039 | -3.892852 | 0.000000 | 1.0 |
| 1999-01-01 | 0.190262 | -3.950090 | 0.000000 | 1.0 |
| 1999-01-04 | 0.189039 | -3.999551 | 0.000000 | 1.0 |
| 1999-01-05 | 0.188372 | -4.012046 | 0.000000 | 1.0 |
| 1999-01-06 | 0.188271 | -4.008558 | 0.000000 | 1.0 |
| ... | ... | ... | ... | ... |
| 2025-07-28 | 1.052535 | -0.254412 | 0.271806 | 1.0 |
| 2025-07-29 | 1.053655 | -0.253965 | 0.273050 | 1.0 |
| 2025-07-30 | 1.044527 | -0.253344 | 0.272807 | 1.0 |
| 2025-07-31 | 1.049492 | -0.255533 | 0.257064 | 1.0 |
| 2025-08-01 | 1.056477 | -0.256471 | 0.255167 | 1.0 |
6937 rows × 4 columns
cota_gross
date
1998-12-31 1.000000
1999-01-01 0.999997
1999-01-04 1.009145
1999-01-05 1.017254
1999-01-06 1.021389
...
2025-07-28 22.930489
2025-07-29 23.098502
2025-07-30 23.237234
2025-07-31 22.978805
2025-08-01 23.112582
Length: 6937, dtype: float64
cota_net
date
1998-12-31 1.000000
1999-01-01 0.999997
1999-01-04 1.009143
1999-01-05 1.017253
1999-01-06 1.021387
...
2025-07-28 22.830005
2025-07-29 22.997289
2025-07-30 23.135411
2025-07-31 22.878082
2025-08-01 23.011256
Length: 6937, dtype: float64
running sizing...
clusters_weights_resampled_sized
| smll_av | brlusdfut_av | dif3yfut_av | cdi | |
|---|---|---|---|---|
| 1998-12-31 | NaN | NaN | NaN | NaN |
| 1999-01-28 | 0.049491 | 0.011765 | 0.043768 | -0.005024 |
| 1999-01-29 | 0.496140 | 0.116992 | 0.437169 | -0.050301 |
| 1999-02-25 | 0.492232 | 0.116226 | 0.442523 | -0.050981 |
| 1999-03-25 | 0.480166 | 0.114722 | 0.442452 | -0.037340 |
| ... | ... | ... | ... | ... |
| 2025-03-27 | 0.609365 | 0.277898 | 0.492721 | -0.379984 |
| 2025-04-24 | 0.588975 | 0.270443 | 0.490933 | -0.350352 |
| 2025-05-29 | 0.588138 | 0.271228 | 0.500357 | -0.359723 |
| 2025-06-26 | 0.591941 | 0.276001 | 0.518153 | -0.386094 |
| 2025-07-31 | 0.576859 | 0.282246 | 0.526406 | -0.385510 |
427 rows × 4 columns
clusters_weights_sized
| smll_av | brlusdfut_av | dif3yfut_av | cdi | |
|---|---|---|---|---|
| date | ||||
| 1998-12-31 | NaN | NaN | NaN | 1.000000 |
| 1999-01-01 | NaN | NaN | NaN | 1.000000 |
| 1999-01-04 | NaN | NaN | NaN | 1.000000 |
| 1999-01-05 | NaN | NaN | NaN | 1.000000 |
| 1999-01-06 | NaN | NaN | NaN | 1.000000 |
| ... | ... | ... | ... | ... |
| 2025-07-28 | 0.586142 | 0.282968 | 0.531253 | -0.400362 |
| 2025-07-29 | 0.583485 | 0.282590 | 0.531581 | -0.397657 |
| 2025-07-30 | 0.587075 | 0.281286 | 0.527129 | -0.395490 |
| 2025-07-31 | 0.576859 | 0.282246 | 0.526406 | -0.385510 |
| 2025-08-01 | 0.572990 | 0.282914 | 0.527586 | -0.383490 |
6937 rows × 4 columns
clusters_weights_sized (pack_only)
| dif3yfut | usdbrlfut | smal11_excdi | cdi | |
|---|---|---|---|---|
| date | ||||
| 1998-12-31 | 0.000000 | 0.000000 | 0.000000 | 1.0 |
| 1999-01-01 | 0.000000 | 0.000000 | 0.000000 | 1.0 |
| 1999-01-04 | 0.000000 | 0.000000 | 0.000000 | 1.0 |
| 1999-01-05 | 0.000000 | 0.000000 | 0.000000 | 1.0 |
| 1999-01-06 | 0.000000 | 0.000000 | 0.000000 | 1.0 |
| ... | ... | ... | ... | ... |
| 2025-07-28 | 1.057614 | -0.255640 | 0.273118 | 1.0 |
| 2025-07-29 | 1.058933 | -0.255237 | 0.274417 | 1.0 |
| 2025-07-30 | 1.049956 | -0.254660 | 0.274225 | 1.0 |
| 2025-07-31 | 1.049492 | -0.255533 | 0.257064 | 1.0 |
| 2025-08-01 | 1.056700 | -0.256525 | 0.255221 | 1.0 |
6937 rows × 4 columns
securities_weights
| dif3yfut | usdbrlfut | smal11_excdi | cdi | |
|---|---|---|---|---|
| date | ||||
| 1998-12-31 | 0.000000 | 0.000000 | 0.000000 | 1.0 |
| 1999-01-01 | 0.000000 | 0.000000 | 0.000000 | 1.0 |
| 1999-01-04 | 0.000000 | 0.000000 | 0.000000 | 1.0 |
| 1999-01-05 | 0.000000 | 0.000000 | 0.000000 | 1.0 |
| 1999-01-06 | 0.000000 | 0.000000 | 0.000000 | 1.0 |
| ... | ... | ... | ... | ... |
| 2025-07-28 | 1.057614 | -0.255640 | 0.273118 | 1.0 |
| 2025-07-29 | 1.058933 | -0.255237 | 0.274417 | 1.0 |
| 2025-07-30 | 1.049956 | -0.254660 | 0.274225 | 1.0 |
| 2025-07-31 | 1.049492 | -0.255533 | 0.257064 | 1.0 |
| 2025-08-01 | 1.056700 | -0.256525 | 0.255221 | 1.0 |
6937 rows × 4 columns
cota_gross_sized
date
1998-12-31 1.000000
1999-01-01 1.000000
1999-01-04 1.001012
1999-01-05 1.002021
1999-01-06 1.003030
...
2025-07-28 35.954939
2025-07-29 36.219557
2025-07-30 36.438086
2025-07-31 36.030636
2025-08-01 36.240397
Length: 6937, dtype: float64
cota_net_sized
date
1998-12-31 1.000000
1999-01-01 1.000000
1999-01-04 1.001012
1999-01-05 1.002021
1999-01-06 1.003030
...
2025-07-28 35.557195
2025-07-29 35.818898
2025-07-30 36.035006
2025-07-31 35.632011
2025-08-01 35.839425
Length: 6937, dtype: float64
beta_brasil
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Year % | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| year | |||||||||||||
| 2005 | 1.6 | 2.3 | -0.7 | 3.6 | 3.6 | 4.0 | -0.0 | 1.1 | 14.2 | -3.1 | 4.6 | 4.5 | 35.7 |
| 2006 | 10.2 | 6.3 | -1.6 | 2.1 | -10.0 | 5.0 | 2.9 | 4.1 | 2.4 | 5.6 | 6.4 | 6.4 | 39.8 |
| 2007 | -0.5 | 1.6 | 3.6 | 6.5 | 7.7 | -0.7 | -0.5 | -7.4 | 5.1 | 2.8 | -4.4 | -1.2 | 12.6 |
| 2008 | -2.2 | 4.4 | -5.3 | 3.7 | 2.6 | -4.0 | 4.2 | -1.3 | -9.5 | -5.4 | 1.9 | 7.8 | -3.1 |
| 2009 | 1.5 | 1.2 | 2.8 | 5.6 | 5.5 | -0.1 | 4.2 | 2.2 | 2.8 | 0.2 | 3.2 | 2.9 | 32.0 |
| 2010 | -0.8 | 3.7 | 1.5 | -1.1 | 0.7 | 2.6 | 7.4 | 4.6 | 0.8 | 3.9 | -2.8 | 2.9 | 23.4 |
| 2011 | -7.1 | 3.5 | 2.5 | 3.6 | 2.1 | -0.8 | -3.0 | 7.1 | -6.8 | 7.2 | 2.3 | -4.5 | 6.1 |
| 2012 | 8.9 | 5.9 | 0.6 | 4.6 | -3.9 | 4.2 | 1.8 | 3.3 | 1.9 | 4.1 | -2.5 | 5.7 | 34.6 |
| 2013 | -0.1 | -1.5 | -3.3 | 4.5 | -9.6 | -13.2 | -0.7 | -5.6 | 5.3 | 0.8 | -3.5 | -0.5 | -27.4 |
| 2014 | -5.5 | 4.5 | 2.4 | 1.9 | 3.6 | 2.0 | -0.6 | 5.6 | -9.9 | -0.0 | 1.3 | -4.7 | 0.6 |
| 2015 | -0.7 | -0.0 | -3.0 | 2.6 | 0.5 | -0.4 | -2.0 | -6.3 | -4.2 | 2.4 | -0.4 | -1.5 | -13.0 |
| 2016 | 0.9 | 3.8 | 8.6 | 5.1 | -2.1 | 6.8 | 5.2 | 1.0 | 2.5 | 3.5 | -3.3 | 2.7 | 34.7 |
| 2017 | 6.8 | 4.0 | 1.1 | 1.0 | -3.5 | 0.7 | 5.9 | 3.0 | 2.4 | -1.6 | -0.9 | 3.4 | 22.3 |
| 2018 | 3.4 | 0.8 | 1.4 | -0.5 | -7.6 | -3.7 | 4.5 | -6.6 | 0.7 | 11.8 | 1.7 | 2.7 | 8.6 |
| 2019 | 5.9 | -1.2 | -0.5 | 0.8 | 3.4 | 6.0 | 3.6 | -2.0 | 2.8 | 4.4 | -1.7 | 6.3 | 27.8 |
| 2020 | 0.4 | -2.2 | -12.2 | -1.1 | 1.4 | 2.4 | 3.0 | -1.9 | -2.4 | -1.5 | 4.4 | 4.0 | -5.7 |
| 2021 | -2.7 | -2.3 | 0.1 | 2.8 | 2.1 | 0.8 | -3.6 | -2.8 | -4.1 | -8.3 | 1.5 | 4.6 | -11.9 |
| 2022 | 1.1 | -0.4 | 4.9 | -3.9 | 0.6 | -6.4 | 2.4 | 5.5 | 0.8 | 3.0 | -5.7 | 0.5 | 2.4 |
| 2023 | 1.9 | -2.3 | 3.0 | 1.9 | 6.5 | 6.3 | 1.8 | -2.9 | -1.8 | -2.7 | 7.6 | 3.9 | 23.2 |
| 2024 | -1.9 | -0.4 | 0.3 | -6.1 | -1.4 | -3.9 | 1.7 | 2.0 | -1.3 | -2.7 | -5.1 | -5.8 | -24.6 |
| 2025 | 6.6 | -0.4 | 4.3 | 6.1 | 2.3 | 3.9 | -3.4 | 0.6 | – | – | – | – | 20.0 |
beta_brasil_sized
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Year % | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| year | |||||||||||||
| 2005 | 1.6 | 2.3 | -0.7 | 3.6 | 3.6 | 4.0 | -0.1 | 1.1 | 12.5 | -3.2 | 4.6 | 4.5 | 33.8 |
| 2006 | 10.2 | 6.4 | -2.7 | 2.1 | -10.4 | 4.9 | 2.9 | 4.1 | 2.4 | 5.6 | 6.4 | 6.4 | 38.3 |
| 2007 | -0.5 | 1.6 | 3.6 | 6.5 | 7.7 | -0.5 | -1.2 | -4.4 | 5.1 | 2.8 | -4.4 | -1.3 | 15.0 |
| 2008 | -2.2 | 4.4 | -5.4 | 3.7 | 2.6 | -4.0 | 4.2 | -1.3 | -9.1 | -5.4 | 1.9 | 7.8 | -2.8 |
| 2009 | 1.5 | 1.2 | 2.8 | 5.6 | 5.5 | -0.1 | 4.2 | 2.2 | 2.8 | 0.2 | 3.2 | 2.9 | 32.0 |
| 2010 | -0.8 | 3.7 | 1.5 | -1.1 | 0.4 | 2.6 | 7.4 | 4.6 | 0.8 | 3.9 | -2.8 | 2.9 | 23.1 |
| 2011 | -7.1 | 3.6 | 2.5 | 3.6 | 2.1 | -0.8 | -3.1 | 7.2 | -3.8 | 5.8 | 2.3 | -4.5 | 7.8 |
| 2012 | 8.9 | 6.0 | 0.6 | 4.6 | -3.8 | 4.2 | 1.8 | 3.3 | 1.9 | 4.1 | -2.5 | 5.7 | 34.8 |
| 2013 | -0.1 | -1.5 | -3.4 | 4.5 | -9.6 | -7.4 | -0.7 | -5.5 | 5.3 | 0.8 | -3.5 | -0.5 | -21.6 |
| 2014 | -5.5 | 4.5 | 2.5 | 1.9 | 3.6 | 2.0 | -0.6 | 5.6 | -10.2 | 0.3 | 1.3 | -4.7 | 0.7 |
| 2015 | -0.8 | -0.0 | -3.0 | 2.6 | 0.5 | -0.4 | -2.0 | -6.3 | -4.2 | 2.4 | -0.4 | -1.5 | -13.1 |
| 2016 | 0.9 | 3.8 | 8.6 | 5.1 | -2.1 | 6.8 | 5.2 | 1.0 | 2.5 | 3.5 | -3.3 | 2.7 | 34.7 |
| 2017 | 6.8 | 4.0 | 1.1 | 0.9 | -3.5 | 0.7 | 5.9 | 3.1 | 2.4 | -1.6 | -0.9 | 3.5 | 22.4 |
| 2018 | 3.4 | 0.8 | 1.4 | -0.5 | -7.6 | -1.8 | 4.3 | -4.8 | 1.0 | 12.4 | 1.7 | 2.7 | 13.0 |
| 2019 | 5.9 | -1.2 | -0.5 | 0.8 | 3.4 | 6.0 | 3.6 | -2.0 | 2.8 | 4.4 | -1.7 | 6.4 | 27.9 |
| 2020 | 0.4 | -2.2 | -8.3 | -1.9 | 1.4 | 2.4 | 3.0 | -1.9 | -2.4 | -1.5 | 4.4 | 4.0 | -2.6 |
| 2021 | -2.7 | -2.3 | 0.1 | 2.8 | 2.1 | 0.8 | -3.6 | -2.8 | -4.1 | -8.0 | 1.4 | 4.6 | -11.7 |
| 2022 | 1.1 | -0.4 | 4.9 | -3.9 | 0.6 | -6.4 | 2.4 | 5.5 | 0.7 | 2.9 | -5.3 | 0.5 | 2.6 |
| 2023 | 1.9 | -2.3 | 3.0 | 1.9 | 6.5 | 6.4 | 1.8 | -2.9 | -1.8 | -2.7 | 7.6 | 3.9 | 23.3 |
| 2024 | -1.9 | -0.4 | 0.3 | -6.1 | -0.5 | -3.9 | 1.7 | 2.0 | -1.3 | -2.7 | -5.2 | -4.0 | -22.0 |
| 2025 | 6.6 | -0.4 | 4.3 | 6.1 | 2.3 | 3.9 | -3.4 | 0.6 | – | – | – | – | 20.0 |
Total: 6.869233131408691
beta_brasil
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Year % | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| year | |||||||||||||
| 2005 | 1.6 | 2.3 | -0.7 | 3.6 | 3.6 | 4.0 | -0.0 | 1.1 | 14.2 | -3.1 | 4.6 | 4.5 | 35.7 |
| 2006 | 10.2 | 6.3 | -1.6 | 2.1 | -10.0 | 5.0 | 2.9 | 4.1 | 2.4 | 5.6 | 6.4 | 6.4 | 39.8 |
| 2007 | -0.5 | 1.6 | 3.6 | 6.5 | 7.7 | -0.7 | -0.5 | -7.4 | 5.1 | 2.8 | -4.4 | -1.2 | 12.6 |
| 2008 | -2.2 | 4.4 | -5.3 | 3.7 | 2.6 | -4.0 | 4.2 | -1.3 | -9.5 | -5.4 | 1.9 | 7.8 | -3.1 |
| 2009 | 1.5 | 1.2 | 2.8 | 5.6 | 5.5 | -0.1 | 4.2 | 2.2 | 2.8 | 0.2 | 3.2 | 2.9 | 32.0 |
| 2010 | -0.8 | 3.7 | 1.5 | -1.1 | 0.7 | 2.6 | 7.4 | 4.6 | 0.8 | 3.9 | -2.8 | 2.9 | 23.4 |
| 2011 | -7.1 | 3.5 | 2.5 | 3.6 | 2.1 | -0.8 | -3.0 | 7.1 | -6.8 | 7.2 | 2.3 | -4.5 | 6.1 |
| 2012 | 8.9 | 5.9 | 0.6 | 4.6 | -3.9 | 4.2 | 1.8 | 3.3 | 1.9 | 4.1 | -2.5 | 5.7 | 34.6 |
| 2013 | -0.1 | -1.5 | -3.3 | 4.5 | -9.6 | -13.2 | -0.7 | -5.6 | 5.3 | 0.8 | -3.5 | -0.5 | -27.4 |
| 2014 | -5.5 | 4.5 | 2.4 | 1.9 | 3.6 | 2.0 | -0.6 | 5.6 | -9.9 | -0.0 | 1.3 | -4.7 | 0.6 |
| 2015 | -0.7 | -0.0 | -3.0 | 2.6 | 0.5 | -0.4 | -2.0 | -6.3 | -4.2 | 2.4 | -0.4 | -1.5 | -13.0 |
| 2016 | 0.9 | 3.8 | 8.6 | 5.1 | -2.1 | 6.8 | 5.2 | 1.0 | 2.5 | 3.5 | -3.3 | 2.7 | 34.7 |
| 2017 | 6.8 | 4.0 | 1.1 | 1.0 | -3.5 | 0.7 | 5.9 | 3.0 | 2.4 | -1.6 | -0.9 | 3.4 | 22.3 |
| 2018 | 3.4 | 0.8 | 1.4 | -0.5 | -7.6 | -3.7 | 4.5 | -6.6 | 0.7 | 11.8 | 1.7 | 2.7 | 8.6 |
| 2019 | 5.9 | -1.2 | -0.5 | 0.8 | 3.4 | 6.0 | 3.6 | -2.0 | 2.8 | 4.4 | -1.7 | 6.3 | 27.8 |
| 2020 | 0.4 | -2.2 | -12.2 | -1.1 | 1.4 | 2.4 | 3.0 | -1.9 | -2.4 | -1.5 | 4.4 | 4.0 | -5.7 |
| 2021 | -2.7 | -2.3 | 0.1 | 2.8 | 2.1 | 0.8 | -3.6 | -2.8 | -4.1 | -8.3 | 1.5 | 4.6 | -11.9 |
| 2022 | 1.1 | -0.4 | 4.9 | -3.9 | 0.6 | -6.4 | 2.4 | 5.5 | 0.8 | 3.0 | -5.7 | 0.5 | 2.4 |
| 2023 | 1.9 | -2.3 | 3.0 | 1.9 | 6.5 | 6.3 | 1.8 | -2.9 | -1.8 | -2.7 | 7.6 | 3.9 | 23.2 |
| 2024 | -1.9 | -0.4 | 0.3 | -6.1 | -1.4 | -3.9 | 1.7 | 2.0 | -1.3 | -2.7 | -5.1 | -5.8 | -24.6 |
| 2025 | 6.6 | -0.4 | 4.3 | 6.1 | 2.3 | 3.9 | -3.4 | 0.6 | – | – | – | – | 20.0 |
beta_brasil_timing_long_bias
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Year % | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| year | |||||||||||||
| 2005 | 0.0 | 0.8 | -0.1 | 0.5 | 0.8 | 1.4 | -0.6 | -0.5 | 15.0 | -5.7 | 1.2 | 7.8 | 20.6 |
| 2006 | 10.9 | 5.8 | -3.4 | -0.6 | -2.0 | 2.3 | 2.6 | 2.8 | 2.1 | 5.7 | 8.4 | 7.9 | 42.5 |
| 2007 | -2.1 | 0.8 | 2.1 | 7.5 | 7.4 | -2.0 | -1.1 | -0.2 | 2.5 | 1.8 | -1.3 | 0.3 | 15.7 |
| 2008 | 0.0 | 2.4 | -1.6 | 1.6 | 2.3 | -1.5 | 2.2 | 2.4 | 1.2 | -0.1 | 2.0 | 10.1 | 21.0 |
| 2009 | 2.5 | 2.3 | 3.1 | 5.8 | 4.8 | -1.2 | 3.3 | 2.7 | 2.3 | 0.5 | 3.7 | 2.5 | 32.3 |
| 2010 | 1.9 | 0.6 | -0.1 | -1.2 | 2.8 | 0.7 | 6.9 | 5.4 | -0.9 | 3.2 | -2.1 | 0.1 | 17.3 |
| 2011 | -1.1 | 0.2 | 0.7 | 0.7 | 1.6 | -1.1 | -0.2 | 14.4 | 8.3 | 0.0 | 6.5 | -4.3 | 25.7 |
| 2012 | 3.3 | 5.6 | 3.8 | 9.2 | 6.0 | 1.9 | 1.2 | 2.0 | 1.8 | 5.2 | 0.5 | 3.2 | 43.7 |
| 2013 | -2.1 | -0.2 | -0.4 | 0.3 | 1.5 | 1.1 | 0.5 | 0.4 | 0.7 | -0.2 | -0.3 | 0.4 | 1.7 |
| 2014 | 0.4 | 0.9 | 0.6 | 0.2 | 4.0 | 1.0 | 0.8 | 4.1 | -1.7 | -1.2 | 2.4 | -0.8 | 10.7 |
| 2015 | 1.7 | 2.1 | 2.6 | -0.5 | 1.6 | -1.9 | 1.9 | 0.9 | 2.3 | 0.2 | -0.4 | -0.0 | 10.5 |
| 2016 | 2.9 | 1.7 | 7.7 | 4.7 | -1.6 | 0.5 | 6.6 | -0.0 | 0.7 | 3.4 | -2.2 | 0.9 | 25.3 |
| 2017 | 6.4 | 4.2 | 0.6 | 0.0 | -10.0 | 0.8 | 5.1 | 3.8 | 3.0 | -1.0 | -1.0 | 2.2 | 14.1 |
| 2018 | 2.6 | 1.2 | 1.9 | 1.4 | 0.6 | 1.3 | 0.4 | 1.0 | 0.5 | 9.7 | 3.4 | 2.3 | 26.3 |
| 2019 | 5.7 | -1.5 | -0.4 | -0.4 | 3.6 | 7.1 | 4.2 | 0.5 | 3.4 | 3.6 | 0.3 | 5.1 | 31.2 |
| 2020 | 3.7 | 2.6 | -2.0 | -1.5 | 1.3 | 2.8 | 2.8 | -2.0 | -1.0 | -0.9 | 1.4 | 4.1 | 11.3 |
| 2021 | -2.2 | -0.2 | -0.6 | 0.9 | 1.2 | -0.5 | -1.5 | -0.2 | 0.9 | 0.2 | 0.3 | 1.9 | 0.2 |
| 2022 | 0.4 | -2.0 | 2.2 | -1.1 | -0.3 | 1.9 | 1.2 | 4.5 | -1.0 | -1.5 | -1.6 | 1.2 | 3.9 |
| 2023 | -1.1 | -0.0 | 2.3 | 0.7 | 7.5 | 5.3 | 1.1 | -1.1 | -0.2 | -0.4 | 4.1 | 4.2 | 22.4 |
| 2024 | -2.9 | -1.6 | -1.0 | 0.6 | -0.2 | 2.7 | -0.3 | 0.7 | -1.7 | 2.4 | 1.2 | 1.2 | 1.1 |
| 2025 | -0.3 | -0.3 | 0.9 | 5.4 | 2.4 | 1.4 | -2.1 | -0.0 | – | – | – | – | 7.4 |
beta_brasil_timing
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Year % | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| year | |||||||||||||
| 2005 | 0.6 | 0.4 | -0.2 | 1.3 | 1.5 | 1.6 | -1.4 | -1.0 | 15.3 | -6.3 | -0.8 | 6.2 | 17.2 |
| 2006 | 12.5 | 6.2 | -4.4 | -0.5 | 4.2 | 0.7 | 1.7 | 1.8 | 0.9 | 5.2 | 7.8 | 8.5 | 44.6 |
| 2007 | -2.3 | 0.1 | 2.0 | 7.4 | 9.3 | -2.7 | 1.1 | 6.2 | 1.8 | 4.2 | 2.0 | 3.2 | 32.3 |
| 2008 | 3.9 | 1.3 | 2.9 | 1.3 | 2.9 | 4.7 | 0.8 | 4.8 | 7.7 | 5.0 | 0.7 | 10.1 | 46.1 |
| 2009 | 4.3 | 2.4 | 4.0 | 6.8 | 6.7 | -1.3 | 3.3 | 2.3 | 4.0 | 1.5 | 3.6 | 1.8 | 39.4 |
| 2010 | 1.0 | -1.0 | -0.7 | 1.2 | 1.9 | -0.7 | 5.8 | 5.2 | 0.4 | 1.2 | -0.2 | -0.6 | 13.5 |
| 2011 | 8.5 | -3.2 | 0.4 | 0.4 | 0.9 | 1.4 | 5.6 | 16.7 | 9.6 | -1.7 | 5.5 | -4.3 | 39.8 |
| 2012 | 2.2 | 5.7 | 1.8 | 8.5 | 13.4 | -0.6 | -0.6 | 1.0 | 1.6 | 5.3 | -0.1 | 4.0 | 42.2 |
| 2013 | 0.1 | 3.2 | 1.6 | -3.6 | 7.8 | 16.4 | 0.4 | 3.4 | -1.2 | -1.6 | 1.6 | 1.2 | 29.3 |
| 2014 | 7.8 | -1.0 | 1.1 | -0.2 | 3.4 | 1.1 | 1.6 | 2.3 | 4.0 | -2.4 | 1.6 | 4.5 | 23.8 |
| 2015 | 3.8 | 1.4 | 4.1 | -1.5 | 0.6 | -0.9 | 1.9 | 9.1 | 6.8 | -0.9 | -0.3 | 2.2 | 26.3 |
| 2016 | 5.0 | -0.9 | 8.2 | 4.3 | -1.8 | -1.6 | 6.2 | -0.3 | -1.5 | 3.7 | -2.5 | 0.8 | 19.6 |
| 2017 | 5.7 | 4.1 | 0.1 | -1.4 | -15.8 | 0.5 | 5.8 | 3.4 | 2.8 | -1.2 | -0.4 | -0.4 | 3.2 |
| 2018 | 3.2 | 0.5 | 1.1 | -0.2 | 8.1 | 5.8 | -3.0 | 6.1 | 0.4 | 8.3 | 2.4 | 0.9 | 33.6 |
| 2019 | 7.0 | -2.5 | -2.4 | -1.9 | 2.7 | 7.4 | 4.1 | -0.9 | 2.7 | 3.3 | -0.0 | 5.4 | 24.9 |
| 2020 | 2.4 | 4.6 | 3.8 | -3.9 | 0.8 | 1.8 | 2.8 | -3.3 | 0.1 | -0.7 | 0.3 | 4.2 | 12.9 |
| 2021 | -3.0 | 1.7 | -1.9 | -0.4 | 1.6 | 0.6 | 0.2 | 4.1 | 5.1 | 11.3 | -1.2 | -1.5 | 16.6 |
| 2022 | 2.6 | -1.2 | 2.6 | 1.7 | 0.4 | 8.9 | -0.0 | 1.8 | -3.8 | -4.8 | 4.3 | 1.6 | 14.1 |
| 2023 | -2.5 | 2.5 | 2.4 | -0.0 | 5.6 | 5.6 | 1.2 | -0.1 | 1.7 | 3.4 | -0.1 | 4.5 | 24.2 |
| 2024 | -3.9 | -2.6 | -2.4 | 7.5 | 0.9 | 6.3 | -3.1 | -0.9 | 1.2 | 4.8 | 6.9 | 9.0 | 23.7 |
| 2025 | -5.0 | -0.2 | -1.2 | 2.6 | 1.9 | 2.0 | -0.7 | -0.3 | – | – | – | – | -0.9 |
beta_brasil_timing_lo
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Year % | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| year | |||||||||||||
| 2005 | 1.1 | 1.1 | 0.6 | 1.4 | 1.5 | 2.2 | -0.0 | 0.2 | 15.3 | -4.3 | -0.2 | 6.5 | 25.4 |
| 2006 | 11.1 | 6.2 | -2.8 | -1.8 | 0.0 | 1.6 | 2.7 | 2.6 | 1.8 | 5.2 | 8.1 | 7.9 | 42.6 |
| 2007 | -1.9 | 0.8 | 2.0 | 6.8 | 7.3 | -1.7 | 0.6 | 0.9 | 1.9 | 1.3 | -0.3 | 0.6 | 18.3 |
| 2008 | 0.4 | 1.2 | -1.1 | 0.7 | 3.2 | -0.4 | 1.1 | 1.4 | 3.0 | 2.0 | 1.7 | 9.8 | 23.0 |
| 2009 | 2.2 | 1.7 | 3.0 | 6.4 | 4.5 | -1.1 | 2.5 | 2.5 | 2.6 | 1.6 | 3.5 | 2.6 | 32.0 |
| 2010 | 1.8 | 0.2 | -0.5 | 0.6 | 1.8 | 0.8 | 5.7 | 5.6 | -0.4 | 2.2 | -0.6 | 0.9 | 18.1 |
| 2011 | -0.4 | 0.8 | 1.1 | 0.7 | 1.4 | -0.1 | 0.7 | 13.2 | 6.9 | -1.2 | 6.3 | -3.8 | 25.6 |
| 2012 | 2.6 | 4.9 | 2.1 | 8.9 | 5.8 | 1.2 | 0.7 | 1.3 | 1.8 | 5.1 | -0.3 | 3.6 | 37.7 |
| 2013 | -1.6 | 0.3 | 0.8 | 0.6 | 1.9 | -1.0 | 0.8 | 0.2 | 0.9 | 0.1 | -0.0 | 1.0 | 4.0 |
| 2014 | 0.7 | 0.2 | 0.7 | 0.1 | 3.2 | 1.0 | 1.4 | 3.5 | 1.6 | -0.7 | 1.9 | 0.3 | 13.9 |
| 2015 | 0.6 | 2.1 | 3.2 | -0.5 | 1.0 | -0.1 | 1.1 | 1.3 | 1.8 | 0.3 | 0.3 | 0.2 | 11.3 |
| 2016 | 1.7 | 1.5 | 7.3 | 3.6 | -1.6 | 0.5 | 6.2 | 0.2 | -0.1 | 3.4 | -1.2 | 1.4 | 22.9 |
| 2017 | 6.0 | 3.9 | 0.6 | -0.7 | -9.9 | 0.9 | 4.5 | 3.7 | 2.8 | -1.2 | 0.1 | 1.8 | 12.5 |
| 2018 | 2.4 | 1.2 | 1.8 | 0.8 | 2.5 | 1.3 | -1.3 | 2.0 | 0.1 | 8.9 | 2.4 | 1.1 | 23.2 |
| 2019 | 6.1 | -2.1 | -0.2 | -1.1 | 3.3 | 7.3 | 4.3 | -0.2 | 2.7 | 3.7 | 0.2 | 5.2 | 29.2 |
| 2020 | 3.0 | 3.2 | -1.4 | -1.5 | 0.8 | 2.1 | 3.0 | -2.2 | -0.1 | -1.0 | 2.1 | 3.8 | 11.8 |
| 2021 | -1.9 | -0.5 | -0.5 | 0.3 | 0.9 | 0.3 | -1.0 | 0.2 | 0.9 | 1.1 | 0.3 | 0.3 | 0.4 |
| 2022 | 0.9 | -1.1 | 2.5 | -0.5 | 0.8 | 2.0 | 1.2 | 1.9 | -2.8 | -2.1 | -0.6 | 1.2 | 3.4 |
| 2023 | -0.5 | 0.7 | 2.1 | 0.9 | 6.2 | 5.5 | 0.6 | -0.7 | 0.9 | 0.5 | 3.4 | 4.4 | 24.0 |
| 2024 | -3.0 | -1.3 | -0.9 | 0.8 | 0.3 | 2.8 | -0.7 | 0.1 | -0.5 | 2.4 | 2.0 | 1.6 | 3.6 |
| 2025 | -0.0 | -0.1 | 0.5 | 4.0 | 2.3 | 0.7 | -1.6 | -0.1 | – | – | – | – | 5.7 |
beta_brasil_timing_so
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Year % | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| year | |||||||||||||
| 2005 | 0.9 | 0.4 | 0.7 | 1.3 | 1.5 | 0.9 | 0.1 | 0.5 | 1.5 | -0.8 | 0.8 | 1.2 | 9.0 |
| 2006 | 2.7 | 1.1 | -0.2 | 2.4 | 5.6 | 0.3 | 0.2 | 0.5 | 0.1 | 1.1 | 0.7 | 1.6 | 16.1 |
| 2007 | 0.7 | 0.2 | 1.0 | 1.5 | 2.9 | -0.1 | 1.4 | 6.4 | 0.7 | 3.7 | 3.1 | 3.4 | 24.9 |
| 2008 | 4.5 | 0.8 | 4.9 | 1.5 | 0.5 | 6.1 | 0.8 | 4.4 | 5.8 | 4.3 | 0.1 | 1.4 | 35.1 |
| 2009 | 3.0 | 1.5 | 2.0 | 1.2 | 2.9 | 0.5 | 1.6 | 0.5 | 2.0 | 0.6 | 0.8 | -0.1 | 16.5 |
| 2010 | -0.1 | -0.6 | 0.5 | 1.3 | 0.9 | -0.7 | 0.9 | 0.5 | 1.6 | -0.1 | 1.3 | -0.5 | 5.0 |
| 2011 | 9.9 | -3.2 | 0.3 | 0.5 | 0.5 | 2.4 | 5.8 | 4.3 | 3.6 | 0.4 | 0.1 | 0.4 | 25.0 |
| 2012 | 0.5 | 1.5 | 0.4 | 0.3 | 7.9 | -1.2 | -0.6 | 0.4 | 0.3 | 0.8 | 0.8 | 0.9 | 12.0 |
| 2013 | 2.3 | 3.4 | 1.4 | -3.5 | 6.5 | 18.3 | 0.3 | 3.9 | -1.4 | -0.9 | 2.4 | 1.0 | 33.7 |
| 2014 | 8.0 | -0.4 | 1.2 | 0.5 | 1.0 | 0.9 | 1.2 | -0.3 | 3.3 | -0.8 | 0.6 | 5.3 | 20.5 |
| 2015 | 4.2 | 0.1 | 1.9 | -0.1 | 0.6 | 0.3 | 2.0 | 8.8 | 6.2 | -0.1 | 0.4 | 3.2 | 27.5 |
| 2016 | 4.4 | -1.4 | 2.0 | 1.7 | 0.9 | -0.9 | 1.1 | 0.8 | -0.3 | 1.3 | -0.3 | 0.5 | 9.8 |
| 2017 | 0.8 | 1.1 | 0.6 | 0.0 | -5.3 | 0.4 | 2.0 | 0.5 | 0.6 | 0.6 | 0.0 | -1.7 | -0.4 |
| 2018 | 1.4 | -0.3 | -0.2 | -0.4 | 6.0 | 5.1 | -1.2 | 4.7 | 0.8 | 0.0 | 0.5 | 0.3 | 16.7 |
| 2019 | 1.4 | 0.1 | -1.7 | -0.2 | -0.1 | 0.6 | 0.4 | -0.2 | 0.4 | 0.1 | 0.1 | 0.5 | 1.4 |
| 2020 | -0.3 | 1.7 | 5.6 | -2.1 | 0.2 | -0.1 | -0.1 | -1.0 | 0.4 | 0.5 | -1.6 | 0.5 | 3.7 |
| 2021 | -1.0 | 2.3 | -1.2 | -0.5 | 0.9 | 0.5 | 1.5 | 4.4 | 4.6 | 10.7 | -0.9 | -1.0 | 20.3 |
| 2022 | 2.4 | 0.7 | 1.0 | 3.1 | 0.7 | 7.9 | -0.2 | 1.0 | 0.1 | -1.7 | 6.1 | 1.5 | 22.6 |
| 2023 | -0.9 | 2.7 | 1.5 | -0.1 | 0.6 | 1.2 | 1.7 | 1.7 | 1.7 | 3.9 | -2.6 | 1.0 | 12.4 |
| 2024 | 0.1 | -0.6 | -0.7 | 7.6 | 1.4 | 4.2 | -1.6 | -0.1 | 2.6 | 3.3 | 5.7 | 8.4 | 30.3 |
| 2025 | -4.0 | 1.0 | -0.8 | -0.3 | 0.8 | 2.4 | 2.2 | -0.1 | – | – | – | – | 1.2 |
portfolio_name: - alfa risk_target: - ls: 0.75 - beta_brasil: 0.25 allocation method: - vol running allocation...
clusters_weights_resampled
| ls | beta_brasil_timing | |
|---|---|---|
| 2006-12-28 | 1.067199 | 0.233592 |
| 2007-01-25 | 1.128210 | 0.239233 |
| 2007-02-22 | 1.135045 | 0.243439 |
| 2007-03-29 | 1.127801 | 0.247741 |
| 2007-04-26 | 1.137801 | 0.253548 |
| ... | ... | ... |
| 2025-03-27 | 1.032208 | 0.256183 |
| 2025-04-24 | 1.039285 | 0.260786 |
| 2025-05-29 | 1.044752 | 0.271251 |
| 2025-06-26 | 1.067144 | 0.278868 |
| 2025-07-31 | 1.071044 | 0.280263 |
224 rows × 2 columns
clusters_weights
| ls | beta_brasil_timing | cdi | |
|---|---|---|---|
| date | |||
| 2006-12-28 | 1.067199 | 0.233592 | -0.300791 |
| 2006-12-29 | 1.067089 | 0.233671 | -0.300760 |
| 2007-01-01 | 1.067089 | 0.233671 | -0.300760 |
| 2007-01-02 | 1.068669 | 0.228361 | -0.297030 |
| 2007-01-03 | 1.069612 | 0.228170 | -0.297783 |
| ... | ... | ... | ... |
| 2025-07-28 | 1.062798 | 0.280280 | -0.343078 |
| 2025-07-29 | 1.062554 | 0.278615 | -0.341169 |
| 2025-07-30 | 1.065097 | 0.273674 | -0.338771 |
| 2025-07-31 | 1.071044 | 0.280263 | -0.351307 |
| 2025-08-01 | 1.071551 | 0.278635 | -0.350186 |
4852 rows × 3 columns
clusters_weights (pack_only)
| dif3yfut | usdbrlfut | ls new | smal11_excdi | cdi | |
|---|---|---|---|---|---|
| date | |||||
| 2006-12-28 | 0.379073 | -0.057637 | 1.067199 | 0.158242 | -0.067199 |
| 2006-12-29 | 0.379069 | -0.080186 | 1.067089 | 0.158240 | -0.067089 |
| 2007-01-01 | 0.379072 | -0.080262 | 1.067089 | 0.158240 | -0.067089 |
| 2007-01-02 | 0.376127 | -0.079267 | 1.068669 | 0.129677 | -0.068669 |
| 2007-01-03 | 0.376774 | -0.049468 | 1.069612 | 0.050221 | -0.069612 |
| ... | ... | ... | ... | ... | ... |
| 2025-07-28 | 0.018114 | -0.034809 | 1.062798 | -0.106655 | -0.062798 |
| 2025-07-29 | 0.352406 | -0.008635 | 1.062554 | -0.106506 | -0.062554 |
| 2025-07-30 | 0.331968 | -0.014368 | 1.065097 | -0.104524 | -0.065097 |
| 2025-07-31 | -0.231179 | 0.036939 | 1.071044 | -0.100864 | -0.071044 |
| 2025-08-01 | 0.283106 | -0.039492 | 1.071551 | -0.099538 | -0.071551 |
4852 rows × 5 columns
securities_weights
| bees3 | sdia4 | sled4 | brsr6 | klbn4 | hype3 | ngrd3 | scar3 | goll54 | cbav3 | ... | ggbr4 | bbdc4 | smft3 | bpan4 | brpr3 | engi11 | aedu11 | rumo3 | espa3 | cdi | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| date | |||||||||||||||||||||
| 2006-12-28 | 0.0 | -0.054611 | 0.0 | 0.000000 | -0.005663 | 0.000000 | 0.0 | 0.0 | 0.011182 | 0.000000 | ... | 0.052012 | -0.032184 | 0.000000 | 0.000000 | 0.0 | 0.000000 | 0.0 | 0.0 | 0.0 | 0.452214 |
| 2006-12-29 | 0.0 | -0.054605 | 0.0 | 0.000000 | -0.005662 | 0.000000 | 0.0 | 0.0 | 0.011180 | 0.000000 | ... | 0.052007 | -0.032180 | 0.000000 | 0.000000 | 0.0 | 0.000000 | 0.0 | 0.0 | 0.0 | 0.452270 |
| 2007-01-01 | 0.0 | -0.054605 | 0.0 | 0.000000 | -0.005662 | 0.000000 | 0.0 | 0.0 | 0.011180 | 0.000000 | ... | 0.052007 | -0.032180 | 0.000000 | 0.000000 | 0.0 | 0.000000 | 0.0 | 0.0 | 0.0 | 0.452270 |
| 2007-01-02 | 0.0 | -0.046128 | 0.0 | 0.000000 | -0.003861 | 0.000000 | 0.0 | 0.0 | -0.008982 | 0.000000 | ... | 0.036482 | -0.032250 | 0.000000 | 0.000000 | 0.0 | 0.000000 | 0.0 | 0.0 | 0.0 | 0.623552 |
| 2007-01-03 | 0.0 | -0.046686 | 0.0 | 0.000000 | -0.003784 | 0.000000 | 0.0 | 0.0 | -0.008808 | 0.000000 | ... | 0.035670 | -0.032126 | 0.000000 | 0.000000 | 0.0 | 0.000000 | 0.0 | 0.0 | 0.0 | 0.624650 |
| ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... |
| 2025-07-28 | 0.0 | 0.000000 | 0.0 | 0.021973 | 0.000000 | -0.027453 | 0.0 | 0.0 | 0.000000 | 0.005690 | ... | 0.001109 | -0.001744 | 0.004051 | 0.004478 | 0.0 | 0.013582 | 0.0 | 0.0 | 0.0 | 1.107373 |
| 2025-07-29 | 0.0 | 0.000000 | 0.0 | 0.021688 | 0.000000 | -0.027224 | 0.0 | 0.0 | 0.000000 | 0.005633 | ... | 0.001097 | -0.001731 | 0.004009 | 0.004465 | 0.0 | 0.013768 | 0.0 | 0.0 | 0.0 | 1.101639 |
| 2025-07-30 | 0.0 | 0.000000 | 0.0 | 0.021812 | 0.000000 | -0.027281 | 0.0 | 0.0 | 0.000000 | 0.005629 | ... | 0.001107 | -0.001746 | 0.004039 | 0.004456 | 0.0 | 0.013853 | 0.0 | 0.0 | 0.0 | 1.091447 |
| 2025-07-31 | 0.0 | 0.000000 | 0.0 | 0.021906 | 0.000000 | -0.026978 | 0.0 | 0.0 | 0.000000 | 0.005638 | ... | 0.001100 | -0.001734 | 0.003973 | 0.004451 | 0.0 | 0.013713 | 0.0 | 0.0 | 0.0 | 1.087953 |
| 2025-08-01 | 0.0 | 0.000000 | 0.0 | 0.023342 | 0.000000 | -0.021519 | 0.0 | 0.0 | 0.000000 | 0.010686 | ... | -0.003138 | -0.003019 | -0.006176 | 0.006294 | 0.0 | -0.000181 | 0.0 | 0.0 | 0.0 | 1.185490 |
4852 rows × 369 columns
cota_gross
date
2006-12-28 1.000000
2006-12-29 0.999955
2007-01-01 0.999955
2007-01-02 1.012364
2007-01-03 1.009658
...
2025-07-28 610.375464
2025-07-29 613.675848
2025-07-30 617.903646
2025-07-31 620.944292
2025-08-01 622.813180
Length: 4852, dtype: float64
cota_net
date
2006-12-28 1.000000
2006-12-29 0.999955
2007-01-01 0.999955
2007-01-02 1.012363
2007-01-03 1.009657
...
2025-07-28 609.590532
2025-07-29 612.886827
2025-07-30 617.108568
2025-07-31 620.145514
2025-08-01 622.011960
Length: 4852, dtype: float64
running sizing...
clusters_weights_resampled_sized
| ls | beta_brasil_timing | cdi | |
|---|---|---|---|
| 2006-12-28 | NaN | NaN | NaN |
| 2007-01-25 | 0.112821 | 0.023923 | -0.036744 |
| 2007-01-26 | 1.128523 | 0.234420 | -0.362943 |
| 2007-02-22 | 1.135045 | 0.243439 | -0.378484 |
| 2007-03-29 | 1.127801 | 0.247741 | -0.375542 |
| ... | ... | ... | ... |
| 2025-03-27 | 1.032208 | 0.256183 | -0.288391 |
| 2025-04-24 | 1.039285 | 0.260786 | -0.300071 |
| 2025-05-29 | 1.044752 | 0.271251 | -0.316003 |
| 2025-06-26 | 1.067144 | 0.278868 | -0.346012 |
| 2025-07-31 | 1.071044 | 0.280263 | -0.351307 |
291 rows × 3 columns
clusters_weights_sized
| ls | beta_brasil_timing | cdi | |
|---|---|---|---|
| date | |||
| 2006-12-28 | NaN | NaN | 1.000000 |
| 2006-12-29 | NaN | NaN | 1.000000 |
| 2007-01-01 | NaN | NaN | 1.000000 |
| 2007-01-02 | NaN | NaN | 1.000000 |
| 2007-01-03 | NaN | NaN | 1.000000 |
| ... | ... | ... | ... |
| 2025-07-28 | 1.067265 | 0.281458 | -0.348723 |
| 2025-07-29 | 1.067199 | 0.279833 | -0.347032 |
| 2025-07-30 | 1.069924 | 0.274914 | -0.344838 |
| 2025-07-31 | 1.071044 | 0.280263 | -0.351307 |
| 2025-08-01 | 1.071758 | 0.278688 | -0.350446 |
4852 rows × 3 columns
clusters_weights_sized (pack_only)
| dif3yfut | usdbrlfut | ls new | smal11_excdi | cdi | |
|---|---|---|---|---|---|
| date | |||||
| 2006-12-28 | 0.000000 | 0.000000 | 0.000000 | 0.000000 | 1.000000 |
| 2006-12-29 | 0.000000 | 0.000000 | 0.000000 | 0.000000 | 1.000000 |
| 2007-01-01 | 0.000000 | 0.000000 | 0.000000 | 0.000000 | 1.000000 |
| 2007-01-02 | 0.000000 | 0.000000 | 0.000000 | 0.000000 | 1.000000 |
| 2007-01-03 | 0.000000 | 0.000000 | 0.000000 | 0.000000 | 1.000000 |
| ... | ... | ... | ... | ... | ... |
| 2025-07-28 | 0.018190 | -0.034955 | 1.067265 | -0.107103 | -0.067265 |
| 2025-07-29 | 0.353946 | -0.008673 | 1.067199 | -0.106972 | -0.067199 |
| 2025-07-30 | 0.333472 | -0.014434 | 1.069924 | -0.104998 | -0.069924 |
| 2025-07-31 | -0.231179 | 0.036939 | 1.071044 | -0.100864 | -0.071044 |
| 2025-08-01 | 0.283161 | -0.039500 | 1.071758 | -0.099557 | -0.071758 |
4852 rows × 5 columns
securities_weights
| bees3 | sdia4 | sled4 | brsr6 | klbn4 | hype3 | ngrd3 | scar3 | goll54 | cbav3 | ... | ggbr4 | bbdc4 | smft3 | bpan4 | brpr3 | engi11 | aedu11 | rumo3 | espa3 | cdi | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| date | |||||||||||||||||||||
| 2006-12-28 | 0.0 | 0.0 | 0.0 | 0.000000 | 0.0 | 0.000000 | 0.0 | 0.0 | 0.0 | 0.000000 | ... | 0.000000 | 0.000000 | 0.000000 | 0.000000 | 0.0 | 0.000000 | 0.0 | 0.0 | 0.0 | 1.000000 |
| 2006-12-29 | 0.0 | 0.0 | 0.0 | 0.000000 | 0.0 | 0.000000 | 0.0 | 0.0 | 0.0 | 0.000000 | ... | 0.000000 | 0.000000 | 0.000000 | 0.000000 | 0.0 | 0.000000 | 0.0 | 0.0 | 0.0 | 1.000000 |
| 2007-01-01 | 0.0 | 0.0 | 0.0 | 0.000000 | 0.0 | 0.000000 | 0.0 | 0.0 | 0.0 | 0.000000 | ... | 0.000000 | 0.000000 | 0.000000 | 0.000000 | 0.0 | 0.000000 | 0.0 | 0.0 | 0.0 | 1.000000 |
| 2007-01-02 | 0.0 | 0.0 | 0.0 | 0.000000 | 0.0 | 0.000000 | 0.0 | 0.0 | 0.0 | 0.000000 | ... | 0.000000 | 0.000000 | 0.000000 | 0.000000 | 0.0 | 0.000000 | 0.0 | 0.0 | 0.0 | 1.000000 |
| 2007-01-03 | 0.0 | 0.0 | 0.0 | 0.000000 | 0.0 | 0.000000 | 0.0 | 0.0 | 0.0 | 0.000000 | ... | 0.000000 | 0.000000 | 0.000000 | 0.000000 | 0.0 | 0.000000 | 0.0 | 0.0 | 0.0 | 1.000000 |
| ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... |
| 2025-07-28 | 0.0 | 0.0 | 0.0 | 0.022065 | 0.0 | -0.027568 | 0.0 | 0.0 | 0.0 | 0.005713 | ... | 0.001114 | -0.001751 | 0.004068 | 0.004497 | 0.0 | 0.013639 | 0.0 | 0.0 | 0.0 | 1.107825 |
| 2025-07-29 | 0.0 | 0.0 | 0.0 | 0.021782 | 0.0 | -0.027343 | 0.0 | 0.0 | 0.0 | 0.005658 | ... | 0.001102 | -0.001738 | 0.004026 | 0.004484 | 0.0 | 0.013828 | 0.0 | 0.0 | 0.0 | 1.102083 |
| 2025-07-30 | 0.0 | 0.0 | 0.0 | 0.021911 | 0.0 | -0.027405 | 0.0 | 0.0 | 0.0 | 0.005655 | ... | 0.001112 | -0.001754 | 0.004058 | 0.004476 | 0.0 | 0.013916 | 0.0 | 0.0 | 0.0 | 1.091861 |
| 2025-07-31 | 0.0 | 0.0 | 0.0 | 0.021906 | 0.0 | -0.026978 | 0.0 | 0.0 | 0.0 | 0.005638 | ... | 0.001100 | -0.001734 | 0.003973 | 0.004451 | 0.0 | 0.013713 | 0.0 | 0.0 | 0.0 | 1.087953 |
| 2025-08-01 | 0.0 | 0.0 | 0.0 | 0.023347 | 0.0 | -0.021523 | 0.0 | 0.0 | 0.0 | 0.010688 | ... | -0.003138 | -0.003020 | -0.006178 | 0.006295 | 0.0 | -0.000181 | 0.0 | 0.0 | 0.0 | 1.185526 |
4852 rows × 369 columns
cota_gross_sized
date
2006-12-28 1.000000
2006-12-29 1.000491
2007-01-01 1.000491
2007-01-02 1.000983
2007-01-03 1.001474
...
2025-07-28 504.546846
2025-07-29 507.285298
2025-07-30 510.794194
2025-07-31 513.317879
2025-08-01 514.862838
Length: 4852, dtype: float64
cota_net_sized
date
2006-12-28 1.000000
2006-12-29 1.000491
2007-01-01 1.000491
2007-01-02 1.000983
2007-01-03 1.001474
...
2025-07-28 503.206616
2025-07-29 505.937923
2025-07-30 509.436989
2025-07-31 511.954110
2025-08-01 513.494935
Length: 4852, dtype: float64
portfolio_name: - beta_global risk_target: - equity_av: 1 - ust10yfut_av: 1 - xaufut_av: 1 - btcfut_av: 1 allocation method: - vol running allocation...
clusters_weights_resampled
| equity_av | ust10yfut_av | xaufut_av | btcfut_av | |
|---|---|---|---|---|
| 2014-12-25 | 0.506694 | 0.629430 | 0.639895 | 0.833328 |
| 2015-01-29 | 0.527125 | 0.627605 | 0.618857 | 0.743848 |
| 2015-02-26 | 0.525528 | 0.600916 | 0.596878 | 0.844805 |
| 2015-03-26 | 0.508952 | 0.584721 | 0.593216 | 0.830438 |
| 2015-04-30 | 0.500104 | 0.566053 | 0.563572 | 0.866679 |
| ... | ... | ... | ... | ... |
| 2025-03-27 | 0.431603 | 0.518505 | 0.439478 | 0.470872 |
| 2025-04-24 | 0.412581 | 0.514205 | 0.426734 | 0.466285 |
| 2025-05-29 | 0.431313 | 0.532560 | 0.451052 | 0.498544 |
| 2025-06-26 | 0.442269 | 0.558364 | 0.471205 | 0.512533 |
| 2025-07-31 | 0.453474 | 0.569482 | 0.477270 | 0.532397 |
128 rows × 4 columns
clusters_weights
| equity_av | ust10yfut_av | xaufut_av | btcfut_av | cdi | |
|---|---|---|---|---|---|
| date | |||||
| 2014-12-25 | 0.506694 | 0.629430 | 0.639895 | 0.833328 | -1.609348 |
| 2014-12-26 | 0.501810 | 0.622729 | 0.639342 | 0.827191 | -1.591072 |
| 2014-12-29 | 0.503854 | 0.625184 | 0.635641 | 0.821225 | -1.585904 |
| 2014-12-30 | 0.499630 | 0.623559 | 0.637047 | 0.815446 | -1.575682 |
| 2014-12-31 | 0.500371 | 0.626420 | 0.634307 | 0.821131 | -1.582229 |
| ... | ... | ... | ... | ... | ... |
| 2025-07-28 | 0.429974 | 0.546316 | 0.471601 | 0.522326 | -0.970216 |
| 2025-07-29 | 0.427849 | 0.545695 | 0.468647 | 0.517437 | -0.959627 |
| 2025-07-30 | 0.432860 | 0.545408 | 0.465306 | 0.520434 | -0.964008 |
| 2025-07-31 | 0.453474 | 0.569482 | 0.477270 | 0.532397 | -1.032623 |
| 2025-08-01 | 0.446957 | 0.570957 | 0.477115 | 0.521489 | -1.016518 |
2767 rows × 5 columns
clusters_weights (pack_only)
| spx_brl_hedged | btcusd_brl_hedged | xauusd_brl_hedged | ust10y | lo_timing new | cdi | |
|---|---|---|---|---|---|---|
| date | ||||||
| 2014-12-25 | 0.134283 | 0.086344 | 0.293561 | 1.433161 | 0.163188 | -1.110538 |
| 2014-12-26 | 0.134617 | 0.085707 | 0.293588 | 1.418122 | 0.170841 | -1.102876 |
| 2014-12-29 | 0.138568 | 0.085082 | 0.308750 | 1.451515 | 0.172205 | -1.156119 |
| 2014-12-30 | 0.137058 | 0.084992 | 0.405383 | 1.410380 | 0.171433 | -1.209246 |
| 2014-12-31 | 0.136524 | 0.085642 | 0.397900 | 1.482374 | 0.171910 | -1.274350 |
| ... | ... | ... | ... | ... | ... | ... |
| 2025-07-28 | 0.243927 | 0.125585 | 0.356152 | 0.951426 | 0.171541 | -0.848630 |
| 2025-07-29 | 0.241618 | 0.124500 | 0.353822 | 0.950379 | 0.170303 | -0.840622 |
| 2025-07-30 | 0.243471 | 0.125224 | 0.351347 | 0.952171 | 0.173121 | -0.845333 |
| 2025-07-31 | 0.256519 | 0.128111 | 0.359725 | 0.993885 | 0.213386 | -0.951626 |
| 2025-08-01 | 0.252816 | 0.125553 | 0.360076 | 0.997509 | 0.225921 | -0.961876 |
2767 rows × 6 columns
securities_weights
| bees3 | sdia4 | sled4 | brsr6 | klbn4 | hype3 | ngrd3 | scar3 | goll54 | cbav3 | ... | ggbr4 | bbdc4 | smft3 | bpan4 | brpr3 | engi11 | aedu11 | rumo3 | espa3 | cdi | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| date | |||||||||||||||||||||
| 2014-12-25 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ... | 0.0 | 0.0 | 0.0 | 0.0 | 0.005727 | 0.0 | 0.0 | 0.0 | 0.0 | -1.110538 |
| 2014-12-26 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ... | 0.0 | 0.0 | 0.0 | 0.0 | 0.005892 | 0.0 | 0.0 | 0.0 | 0.0 | -1.102876 |
| 2014-12-29 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ... | 0.0 | 0.0 | 0.0 | 0.0 | 0.005899 | 0.0 | 0.0 | 0.0 | 0.0 | -1.156119 |
| 2014-12-30 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ... | 0.0 | 0.0 | 0.0 | 0.0 | 0.005845 | 0.0 | 0.0 | 0.0 | 0.0 | -1.209246 |
| 2014-12-31 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ... | 0.0 | 0.0 | 0.0 | 0.0 | 0.005861 | 0.0 | 0.0 | 0.0 | 0.0 | -1.274350 |
| ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... |
| 2025-07-28 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ... | 0.0 | 0.0 | 0.0 | 0.0 | 0.000000 | 0.0 | 0.0 | 0.0 | 0.0 | -0.848630 |
| 2025-07-29 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ... | 0.0 | 0.0 | 0.0 | 0.0 | 0.000000 | 0.0 | 0.0 | 0.0 | 0.0 | -0.840622 |
| 2025-07-30 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ... | 0.0 | 0.0 | 0.0 | 0.0 | 0.000000 | 0.0 | 0.0 | 0.0 | 0.0 | -0.845333 |
| 2025-07-31 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ... | 0.0 | 0.0 | 0.0 | 0.0 | 0.000000 | 0.0 | 0.0 | 0.0 | 0.0 | -0.951626 |
| 2025-08-01 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ... | 0.0 | 0.0 | 0.0 | 0.0 | 0.000000 | 0.0 | 0.0 | 0.0 | 0.0 | -0.961876 |
2767 rows × 370 columns
cota_gross
date
2014-12-25 1.000000
2014-12-26 1.010787
2014-12-29 1.013382
2014-12-30 1.019257
2014-12-31 1.014341
...
2025-07-28 9.865504
2025-07-29 9.969092
2025-07-30 9.918510
2025-07-31 9.900102
2025-08-01 10.051309
Length: 2767, dtype: float64
cota_net
date
2014-12-25 1.000000
2014-12-26 1.010786
2014-12-29 1.013382
2014-12-30 1.019256
2014-12-31 1.014339
...
2025-07-28 9.842947
2025-07-29 9.946286
2025-07-30 9.895808
2025-07-31 9.877391
2025-08-01 10.028239
Length: 2767, dtype: float64
running sizing...
clusters_weights_resampled_sized
| equity_av | ust10yfut_av | xaufut_av | btcfut_av | cdi | |
|---|---|---|---|---|---|
| 2014-12-25 | NaN | NaN | NaN | NaN | NaN |
| 2015-01-22 | 0.047421 | 0.062130 | 0.063804 | 0.075734 | -0.149089 |
| 2015-01-23 | 0.470247 | 0.626793 | 0.632546 | 0.756620 | -1.486206 |
| 2015-01-29 | 0.527125 | 0.627605 | 0.618857 | 0.743848 | -1.517435 |
| 2015-02-26 | 0.525528 | 0.600916 | 0.596878 | 0.844805 | -1.568127 |
| ... | ... | ... | ... | ... | ... |
| 2025-03-27 | 0.431603 | 0.518505 | 0.439478 | 0.470872 | -0.860459 |
| 2025-04-24 | 0.412581 | 0.514205 | 0.426734 | 0.466285 | -0.819805 |
| 2025-05-29 | 0.431313 | 0.532560 | 0.451052 | 0.498544 | -0.913468 |
| 2025-06-26 | 0.442269 | 0.558364 | 0.471205 | 0.512533 | -0.984371 |
| 2025-07-31 | 0.453474 | 0.569482 | 0.477270 | 0.532397 | -1.032623 |
141 rows × 5 columns
clusters_weights_sized
| equity_av | ust10yfut_av | xaufut_av | btcfut_av | cdi | |
|---|---|---|---|---|---|
| date | |||||
| 2014-12-25 | NaN | NaN | NaN | NaN | 1.000000 |
| 2014-12-26 | NaN | NaN | NaN | NaN | 1.000000 |
| 2014-12-29 | NaN | NaN | NaN | NaN | 1.000000 |
| 2014-12-30 | NaN | NaN | NaN | NaN | 1.000000 |
| 2014-12-31 | NaN | NaN | NaN | NaN | 1.000000 |
| ... | ... | ... | ... | ... | ... |
| 2025-07-28 | 0.435125 | 0.552859 | 0.477250 | 0.528582 | -0.993815 |
| 2025-07-29 | 0.433152 | 0.552458 | 0.474455 | 0.523850 | -0.983915 |
| 2025-07-30 | 0.438489 | 0.552500 | 0.471357 | 0.527201 | -0.989547 |
| 2025-07-31 | 0.453474 | 0.569482 | 0.477270 | 0.532397 | -1.032623 |
| 2025-08-01 | 0.447208 | 0.571278 | 0.477383 | 0.521781 | -1.017649 |
2767 rows × 5 columns
clusters_weights_sized (pack_only)
| spx_brl_hedged | btcusd_brl_hedged | xauusd_brl_hedged | ust10y | lo_timing new | cdi | |
|---|---|---|---|---|---|---|
| date | ||||||
| 2014-12-25 | 0.000000 | 0.000000 | 0.000000 | 0.000000 | 0.000000 | 1.000000 |
| 2014-12-26 | 0.000000 | 0.000000 | 0.000000 | 0.000000 | 0.000000 | 1.000000 |
| 2014-12-29 | 0.000000 | 0.000000 | 0.000000 | 0.000000 | 0.000000 | 1.000000 |
| 2014-12-30 | 0.000000 | 0.000000 | 0.000000 | 0.000000 | 0.000000 | 1.000000 |
| 2014-12-31 | 0.000000 | 0.000000 | 0.000000 | 0.000000 | 0.000000 | 1.000000 |
| ... | ... | ... | ... | ... | ... | ... |
| 2025-07-28 | 0.246849 | 0.127089 | 0.360417 | 0.962822 | 0.173595 | -0.870772 |
| 2025-07-29 | 0.244613 | 0.126043 | 0.358207 | 0.962158 | 0.172414 | -0.863435 |
| 2025-07-30 | 0.246637 | 0.126852 | 0.355915 | 0.964552 | 0.175372 | -0.869328 |
| 2025-07-31 | 0.256519 | 0.128111 | 0.359725 | 0.993885 | 0.213386 | -0.951626 |
| 2025-08-01 | 0.252958 | 0.125623 | 0.360278 | 0.998069 | 0.226048 | -0.962976 |
2767 rows × 6 columns
securities_weights
| bees3 | sdia4 | sled4 | brsr6 | klbn4 | hype3 | ngrd3 | scar3 | goll54 | cbav3 | ... | ggbr4 | bbdc4 | smft3 | bpan4 | brpr3 | engi11 | aedu11 | rumo3 | espa3 | cdi | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| date | |||||||||||||||||||||
| 2014-12-25 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ... | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 1.000000 |
| 2014-12-26 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ... | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 1.000000 |
| 2014-12-29 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ... | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 1.000000 |
| 2014-12-30 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ... | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 1.000000 |
| 2014-12-31 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ... | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 1.000000 |
| ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... |
| 2025-07-28 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ... | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | -0.870772 |
| 2025-07-29 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ... | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | -0.863435 |
| 2025-07-30 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ... | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | -0.869328 |
| 2025-07-31 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ... | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | -0.951626 |
| 2025-08-01 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ... | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | -0.962976 |
2767 rows × 370 columns
cota_gross_sized
date
2014-12-25 1.000000
2014-12-26 1.000435
2014-12-29 1.000869
2014-12-30 1.001305
2014-12-31 1.001740
...
2025-07-28 9.131464
2025-07-29 9.228433
2025-07-30 9.180965
2025-07-31 9.163638
2025-08-01 9.303597
Length: 2767, dtype: float64
cota_net_sized
date
2014-12-25 1.000000
2014-12-26 1.000435
2014-12-29 1.000869
2014-12-30 1.001305
2014-12-31 1.001740
...
2025-07-28 9.102258
2025-07-29 9.198907
2025-07-30 9.151580
2025-07-31 9.134285
2025-08-01 9.273784
Length: 2767, dtype: float64
beta_global
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Year % | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| year | |||||||||||||
| 2015 | 6.0 | -0.7 | 1.6 | 0.4 | 1.3 | -0.0 | 0.9 | -3.0 | 1.8 | 5.5 | -0.5 | 0.9 | 14.2 |
| 2016 | 2.8 | 8.9 | 2.5 | 3.9 | -0.4 | 11.7 | 4.4 | -2.6 | 1.9 | 0.5 | -6.8 | 5.2 | 32.0 |
| 2017 | 5.4 | 8.7 | -1.6 | 5.7 | 10.1 | 0.6 | 4.9 | 7.3 | -0.9 | 2.8 | 3.1 | 6.4 | 52.5 |
| 2018 | 0.2 | -3.6 | -2.2 | 0.3 | -1.7 | -3.1 | 2.0 | 0.8 | -2.5 | -0.9 | -0.1 | 5.8 | -5.0 |
| 2019 | 6.2 | 0.9 | 3.6 | 3.9 | 8.2 | 12.8 | 0.0 | 7.1 | -3.7 | 2.5 | -1.0 | 4.6 | 45.1 |
| 2020 | 8.2 | 0.3 | -1.5 | 4.1 | 2.6 | 3.1 | 8.2 | 0.6 | -3.6 | 0.4 | 5.1 | 7.9 | 35.4 |
| 2021 | -0.7 | -2.2 | 1.1 | 4.0 | 0.3 | -0.2 | 4.7 | 0.9 | -3.4 | 3.0 | -0.2 | 2.1 | 9.4 |
| 2022 | -4.5 | 1.2 | 1.9 | -4.9 | -1.6 | -8.0 | 5.3 | -2.9 | -4.5 | 1.7 | 3.0 | 0.2 | -13.1 |
| 2023 | 7.8 | -3.8 | 6.5 | 2.3 | 0.4 | 2.1 | 1.5 | -2.2 | -3.3 | 2.2 | 7.6 | 6.2 | 27.3 |
| 2024 | -0.4 | 4.4 | 7.3 | -4.6 | 3.3 | 0.8 | 5.2 | 1.8 | 4.4 | -0.0 | 3.1 | -3.0 | 22.3 |
| 2025 | 5.5 | 0.1 | 2.7 | 4.0 | 3.3 | 3.7 | -0.4 | 1.5 | – | – | – | – | 20.4 |
beta_global_sized
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Year % | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| year | |||||||||||||
| 2015 | 1.3 | -0.7 | 1.6 | 0.4 | 1.3 | -0.0 | 0.9 | -3.0 | 1.8 | 5.6 | -0.5 | 0.9 | 9.6 |
| 2016 | 2.8 | 9.0 | 2.5 | 3.9 | -0.5 | 10.2 | 4.4 | -2.6 | 1.9 | 0.5 | -6.8 | 5.3 | 30.6 |
| 2017 | 5.4 | 8.7 | -1.6 | 5.7 | 10.1 | 0.6 | 4.9 | 7.3 | -0.9 | 2.8 | 3.1 | 6.4 | 52.5 |
| 2018 | 0.2 | -3.6 | -2.2 | 0.3 | -1.7 | -3.1 | 2.0 | 0.8 | -2.5 | -0.9 | -0.1 | 5.8 | -5.0 |
| 2019 | 6.2 | 0.9 | 3.6 | 3.9 | 8.2 | 12.8 | 0.0 | 7.1 | -3.7 | 2.5 | -1.0 | 4.7 | 45.2 |
| 2020 | 8.3 | 0.3 | -1.3 | 4.1 | 2.6 | 3.1 | 8.2 | 0.4 | -3.6 | 0.4 | 5.1 | 7.9 | 35.5 |
| 2021 | -0.7 | -2.2 | 1.1 | 4.0 | 0.3 | -0.2 | 4.7 | 0.9 | -3.4 | 3.0 | -0.2 | 2.2 | 9.5 |
| 2022 | -4.6 | 1.2 | 1.9 | -4.9 | -1.6 | -8.6 | 4.9 | -2.9 | -4.6 | 1.8 | 3.0 | 0.2 | -14.2 |
| 2023 | 7.8 | -3.8 | 6.5 | 2.3 | 0.4 | 2.1 | 1.5 | -2.2 | -3.3 | 2.2 | 7.7 | 6.2 | 27.4 |
| 2024 | -0.5 | 4.4 | 7.3 | -4.6 | 3.3 | 0.8 | 5.2 | 1.8 | 4.4 | -0.0 | 3.1 | -3.0 | 22.2 |
| 2025 | 5.6 | 0.1 | 2.7 | 4.0 | 3.3 | 3.7 | -0.4 | 1.5 | – | – | – | – | 20.5 |
alfa
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Year % | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| year | |||||||||||||
| 2015 | 10.1 | 5.8 | 3.2 | -3.0 | 0.7 | 3.6 | 5.3 | 6.4 | 2.4 | -4.3 | 0.1 | 3.6 | 33.9 |
| 2016 | 4.6 | -0.6 | -1.5 | 2.9 | -0.6 | -1.3 | 3.4 | 2.8 | -2.0 | 5.2 | 0.5 | 3.3 | 16.7 |
| 2017 | 5.1 | 9.1 | -2.0 | 2.2 | -2.1 | -0.4 | 2.4 | -1.0 | 2.8 | 3.2 | 2.9 | 2.3 | 24.5 |
| 2018 | -0.9 | 10.1 | 3.5 | 0.7 | 8.6 | 7.6 | 0.3 | 6.7 | -0.1 | -3.8 | 1.4 | 3.7 | 37.8 |
| 2019 | 3.1 | 3.0 | 0.1 | 1.5 | 8.9 | 0.0 | 2.2 | 1.7 | -3.3 | 5.7 | 7.4 | 6.4 | 36.7 |
| 2020 | 5.9 | 6.4 | 6.4 | -1.2 | 0.5 | 0.0 | 2.0 | -3.8 | -1.5 | -0.0 | 0.4 | 4.8 | 19.9 |
| 2021 | -0.9 | 4.4 | 1.2 | 6.3 | 0.4 | -1.7 | 3.1 | 7.6 | 6.5 | 7.7 | -1.2 | 4.7 | 38.1 |
| 2022 | 0.2 | 2.8 | 3.3 | 4.1 | 4.5 | 1.5 | 0.1 | 0.3 | -2.2 | 1.7 | 5.6 | 1.9 | 23.8 |
| 2023 | 1.6 | 3.0 | -2.5 | -0.9 | -0.7 | 8.2 | -2.3 | 6.0 | 6.1 | 4.8 | 2.2 | 3.8 | 29.3 |
| 2024 | 2.9 | -2.5 | 0.1 | 3.9 | -0.7 | 6.6 | 0.3 | 10.5 | 2.4 | 2.6 | 6.3 | 3.0 | 35.4 |
| 2025 | -0.4 | 1.0 | 0.0 | -0.0 | 2.5 | 5.4 | 0.3 | 0.3 | – | – | – | – | 9.1 |
alfa_sized
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Year % | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| year | |||||||||||||
| 2015 | 10.1 | 5.9 | 3.2 | -3.0 | 0.7 | 3.6 | 5.3 | 6.4 | 2.4 | -4.4 | 0.1 | 3.6 | 33.9 |
| 2016 | 4.6 | -0.6 | -1.5 | 2.9 | -0.6 | -1.3 | 3.4 | 2.8 | -2.0 | 5.2 | 0.5 | 3.3 | 16.7 |
| 2017 | 5.1 | 9.1 | -2.0 | 2.2 | -2.1 | -0.4 | 2.4 | -1.0 | 2.8 | 3.2 | 2.9 | 2.3 | 24.5 |
| 2018 | -0.9 | 10.1 | 3.5 | 0.7 | 8.7 | 3.6 | 0.3 | 6.7 | -0.1 | -3.8 | 1.4 | 3.7 | 33.9 |
| 2019 | 3.1 | 3.0 | 0.1 | 1.5 | 8.9 | 0.0 | 2.2 | 1.7 | -3.6 | 5.7 | 7.4 | 6.4 | 36.4 |
| 2020 | 5.9 | 6.4 | 8.5 | -0.7 | 0.5 | 0.0 | 2.0 | -3.8 | -1.5 | -0.0 | 0.4 | 4.8 | 22.5 |
| 2021 | -0.9 | 4.4 | 1.2 | 6.3 | 0.4 | -1.7 | 3.1 | 7.6 | 6.5 | 5.7 | -0.8 | 4.7 | 36.5 |
| 2022 | 0.2 | 2.7 | 3.3 | 4.1 | 4.5 | 1.5 | -0.3 | 0.3 | -2.3 | 1.7 | 5.6 | 1.9 | 23.2 |
| 2023 | 1.6 | 3.1 | -2.1 | -0.9 | -0.7 | 8.2 | -2.3 | 6.0 | 6.1 | 4.8 | 2.2 | 3.8 | 29.8 |
| 2024 | 2.9 | -2.6 | 0.1 | 2.0 | -1.6 | 6.6 | 0.3 | 6.3 | 2.4 | 2.6 | 6.4 | 2.9 | 28.3 |
| 2025 | -0.4 | 1.0 | 0.0 | -0.0 | 2.5 | 5.4 | 0.3 | 0.3 | – | – | – | – | 9.1 |
Total: 3.9239680767059326
beta
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Year % | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| year | |||||||||||||
| 2016 | 1.9 | 10.8 | 1.8 | 3.8 | -1.8 | 10.7 | 4.9 | -3.2 | -2.1 | 2.6 | 0.1 | 9.5 | 39.0 |
| 2017 | 2.5 | 9.7 | -4.7 | 6.5 | 11.6 | 0.9 | 3.7 | 9.5 | -0.5 | 3.9 | 2.9 | 8.4 | 54.4 |
| 2018 | 5.6 | -5.2 | -3.7 | -0.4 | -2.0 | -0.2 | 1.1 | 0.7 | -2.2 | -1.4 | 2.0 | 8.7 | 3.0 |
| 2019 | 7.2 | -0.9 | 1.3 | 3.7 | 9.7 | 15.4 | -0.8 | 8.7 | -5.5 | -0.7 | 0.4 | 6.7 | 45.2 |
| 2020 | 8.5 | 1.4 | -1.0 | 2.7 | 2.5 | 2.7 | 11.2 | -0.1 | -6.2 | 0.5 | 4.8 | 8.2 | 35.2 |
| 2021 | -1.1 | 4.9 | 4.6 | 0.6 | 1.2 | -0.5 | 2.4 | -0.4 | -3.1 | 1.7 | -2.7 | 2.0 | 9.6 |
| 2022 | -0.9 | 1.4 | 2.1 | -1.8 | 1.6 | -2.8 | 2.4 | 0.9 | 0.8 | 1.2 | -0.4 | 0.6 | 5.1 |
| 2023 | 6.0 | -3.3 | 1.5 | 1.7 | 0.3 | 4.0 | 0.9 | -1.9 | 0.3 | 1.7 | 5.7 | 7.6 | 24.5 |
| 2024 | -2.9 | 6.2 | 7.4 | -2.9 | 0.6 | -0.6 | 3.4 | 0.7 | 3.9 | 1.2 | 2.1 | -2.7 | 16.4 |
| 2025 | 5.0 | -0.7 | 5.0 | 2.9 | 2.8 | 3.6 | -2.3 | 1.0 | – | – | – | – | 17.3 |
beta_global
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Year % | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| year | |||||||||||||
| 2016 | 2.8 | 8.9 | 2.5 | 3.9 | -0.4 | 11.7 | 4.4 | -2.6 | 1.9 | 0.5 | -6.8 | 5.2 | 32.0 |
| 2017 | 5.4 | 8.7 | -1.6 | 5.7 | 10.1 | 0.6 | 4.9 | 7.3 | -0.9 | 2.8 | 3.1 | 6.4 | 52.5 |
| 2018 | 0.2 | -3.6 | -2.2 | 0.3 | -1.7 | -3.1 | 2.0 | 0.8 | -2.5 | -0.9 | -0.1 | 5.8 | -5.0 |
| 2019 | 6.2 | 0.9 | 3.6 | 3.9 | 8.2 | 12.8 | 0.0 | 7.1 | -3.7 | 2.5 | -1.0 | 4.6 | 45.1 |
| 2020 | 8.2 | 0.3 | -1.5 | 4.1 | 2.6 | 3.1 | 8.2 | 0.6 | -3.6 | 0.4 | 5.1 | 7.9 | 35.4 |
| 2021 | -0.7 | -2.2 | 1.1 | 4.0 | 0.3 | -0.2 | 4.7 | 0.9 | -3.4 | 3.0 | -0.2 | 2.1 | 9.4 |
| 2022 | -4.5 | 1.2 | 1.9 | -4.9 | -1.6 | -8.0 | 5.3 | -2.9 | -4.5 | 1.7 | 3.0 | 0.2 | -13.1 |
| 2023 | 7.8 | -3.8 | 6.5 | 2.3 | 0.4 | 2.1 | 1.5 | -2.2 | -3.3 | 2.2 | 7.6 | 6.2 | 27.3 |
| 2024 | -0.4 | 4.4 | 7.3 | -4.6 | 3.3 | 0.8 | 5.2 | 1.8 | 4.4 | -0.0 | 3.1 | -3.0 | 22.3 |
| 2025 | 5.5 | 0.1 | 2.7 | 4.0 | 3.3 | 3.7 | -0.4 | 1.5 | – | – | – | – | 20.4 |
beta_global_timing_long_bias
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Year % | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| year | |||||||||||||
| 2016 | 1.8 | 8.0 | 1.7 | 3.0 | -0.9 | 8.3 | 3.8 | -1.9 | -0.8 | 2.0 | -0.8 | 6.7 | 30.9 |
| 2017 | 2.5 | 7.3 | -2.8 | 4.9 | 8.8 | 0.9 | 3.1 | 7.0 | -0.2 | 2.9 | 2.5 | 6.1 | 43.0 |
| 2018 | 3.5 | -3.6 | -2.4 | -0.1 | -1.5 | -0.5 | 1.1 | 0.7 | -1.5 | -0.6 | 1.3 | 6.2 | 2.6 |
| 2019 | 5.3 | -0.3 | 1.3 | 3.0 | 7.3 | 11.2 | -0.3 | 6.4 | -3.7 | 0.1 | 0.3 | 4.9 | 35.5 |
| 2020 | 6.4 | 1.0 | -0.7 | 2.3 | 1.9 | 2.0 | 7.9 | 0.0 | -4.3 | 0.5 | 3.8 | 6.3 | 27.1 |
| 2021 | -0.6 | 2.5 | 2.9 | 1.1 | 0.9 | -0.3 | 2.3 | -0.0 | -2.2 | 1.6 | -1.4 | 1.7 | 8.5 |
| 2022 | -1.1 | 1.3 | 1.9 | -1.6 | 1.0 | -2.7 | 2.5 | 0.5 | 0.0 | 1.4 | 0.5 | 0.7 | 4.4 |
| 2023 | 5.0 | -2.4 | 2.2 | 1.5 | 0.6 | 3.0 | 1.1 | -1.1 | -0.0 | 1.6 | 4.8 | 5.7 | 22.0 |
| 2024 | -1.6 | 4.6 | 5.7 | -2.2 | 1.0 | -0.0 | 3.0 | 1.1 | 3.2 | 0.9 | 1.9 | -1.8 | 15.8 |
| 2025 | 4.0 | -0.2 | 3.6 | 2.4 | 2.4 | 3.0 | -1.1 | 0.8 | – | – | – | – | 14.9 |
portfolio_name: - wealth risk_target: - beta_global: 1 - alfa: 1 allocation method: - vol running allocation...
clusters_weights_resampled
| beta | alfa | |
|---|---|---|
| 2018-12-27 | 0.702098 | 0.572327 |
| 2019-01-31 | 0.690059 | 0.584839 |
| 2019-02-28 | 0.695379 | 0.584341 |
| 2019-03-28 | 0.672082 | 0.601721 |
| 2019-04-25 | 0.656936 | 0.615795 |
| ... | ... | ... |
| 2025-03-27 | 0.703975 | 0.585678 |
| 2025-04-24 | 0.688190 | 0.599620 |
| 2025-05-29 | 0.712339 | 0.595174 |
| 2025-06-26 | 0.720790 | 0.604972 |
| 2025-07-31 | 0.732803 | 0.622453 |
80 rows × 2 columns
clusters_weights
| beta | alfa | cdi | |
|---|---|---|---|
| date | |||
| 2018-12-27 | 0.702098 | 0.572327 | -0.274425 |
| 2018-12-28 | 0.703238 | 0.568249 | -0.271486 |
| 2018-12-31 | 0.703440 | 0.567860 | -0.271300 |
| 2019-01-01 | 0.703415 | 0.567907 | -0.271322 |
| 2019-01-02 | 0.703899 | 0.563587 | -0.267487 |
| ... | ... | ... | ... |
| 2025-07-28 | 0.715616 | 0.613054 | -0.328669 |
| 2025-07-29 | 0.715232 | 0.610089 | -0.325321 |
| 2025-07-30 | 0.711964 | 0.612305 | -0.324269 |
| 2025-07-31 | 0.732803 | 0.622453 | -0.355256 |
| 2025-08-01 | 0.733329 | 0.618760 | -0.352089 |
1722 rows × 3 columns
clusters_weights (pack_only)
| usdbrlfut | spx_brl_hedged | dif3yfut | btcusd_brl_hedged | smal11_excdi | xauusd_brl_hedged | ls new | ust10y | lo_timing new | cdi | |
|---|---|---|---|---|---|---|---|---|---|---|
| date | ||||||||||
| 2018-12-27 | 0.017910 | -0.020841 | 0.282954 | -0.004203 | 0.013753 | 0.557302 | 0.575739 | 1.940878 | 0.208377 | -2.257252 |
| 2018-12-28 | 0.006921 | -0.019396 | 0.278376 | -0.006989 | 0.063028 | 0.552192 | 0.571372 | 1.910954 | 0.207337 | -2.215471 |
| 2018-12-31 | 0.000809 | -0.017603 | 0.278216 | -0.010191 | 0.062898 | 0.554376 | 0.570940 | 1.918488 | 0.209193 | -2.225203 |
| 2019-01-01 | -0.000369 | -0.015779 | 0.278238 | -0.012545 | 0.063232 | 0.554313 | 0.570987 | 1.920503 | 0.208958 | -2.226438 |
| 2019-01-02 | 0.000000 | -0.015958 | 0.278418 | -0.007176 | 0.063261 | 0.544424 | 0.563888 | 1.923224 | 0.209798 | -2.218201 |
| ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... |
| 2025-07-28 | -0.021340 | 0.231017 | 0.011105 | 0.124836 | -0.065385 | 0.239001 | 0.651552 | 0.450843 | 0.171860 | -0.869109 |
| 2025-07-29 | -0.005268 | 0.226817 | 0.214999 | 0.123691 | -0.064978 | 0.183701 | 0.648252 | 0.450105 | 0.170529 | -0.803095 |
| 2025-07-30 | -0.008798 | 0.229408 | 0.203266 | 0.124817 | -0.064001 | 0.089526 | 0.652165 | 0.637660 | 0.172558 | -0.906133 |
| 2025-07-31 | 0.022993 | 0.252889 | -0.143898 | 0.126298 | -0.062783 | 0.073533 | 0.666675 | 0.764739 | 0.218918 | -1.103051 |
| 2025-08-01 | -0.024436 | 0.243334 | 0.175175 | 0.110774 | -0.061590 | 0.163992 | 0.663033 | 1.024103 | 0.231945 | -1.437180 |
1722 rows × 10 columns
securities_weights
| sdia4 | hype3 | besp4 | bnca3 | grnd3 | alpa4 | alsc3 | fras3 | sanb11 | mglu3 | ... | usim5 | pard3 | aper3 | mult3 | bbdc4 | smft3 | brpr3 | aedu11 | espa3 | cdi | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| date | |||||||||||||||||||||
| 2018-12-27 | 0.0 | -0.007959 | 0.0 | 0.0 | 0.005465 | 0.002673 | -0.011378 | 0.000000 | 0.014323 | 0.000758 | ... | -0.005114 | -0.014522 | 0.0 | -0.007530 | -0.000796 | 0.000000 | -0.018137 | 0.0 | 0.0 | -1.670884 |
| 2018-12-28 | 0.0 | -0.006044 | 0.0 | 0.0 | 0.018316 | 0.010725 | -0.012028 | 0.000000 | 0.007070 | -0.008430 | ... | -0.007396 | -0.011263 | 0.0 | -0.008900 | -0.005534 | 0.000000 | 0.000000 | 0.0 | 0.0 | -1.711949 |
| 2018-12-31 | 0.0 | -0.006039 | 0.0 | 0.0 | 0.018378 | 0.010717 | -0.012019 | 0.000000 | 0.007065 | -0.008424 | ... | -0.007391 | -0.011254 | 0.0 | -0.008893 | -0.005530 | 0.000000 | 0.000000 | 0.0 | 0.0 | -1.722062 |
| 2019-01-01 | 0.0 | -0.006040 | 0.0 | 0.0 | 0.018370 | 0.010718 | -0.012020 | 0.000000 | 0.007065 | -0.008425 | ... | -0.007391 | -0.011255 | 0.0 | -0.008894 | -0.005530 | 0.000000 | 0.000000 | 0.0 | 0.0 | -1.723256 |
| 2019-01-02 | 0.0 | -0.006141 | 0.0 | 0.0 | 0.018273 | 0.010863 | -0.012177 | 0.000000 | 0.007460 | -0.008558 | ... | -0.007712 | -0.011664 | 0.0 | -0.009030 | -0.005697 | 0.000000 | 0.000000 | 0.0 | 0.0 | -1.721967 |
| ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... |
| 2025-07-28 | 0.0 | -0.016830 | 0.0 | 0.0 | 0.021571 | -0.003632 | 0.000000 | 0.012426 | 0.009018 | 0.005933 | ... | -0.021164 | 0.000000 | 0.0 | -0.008427 | -0.001069 | 0.002483 | 0.000000 | 0.0 | 0.0 | -0.151731 |
| 2025-07-29 | 0.0 | -0.016609 | 0.0 | 0.0 | 0.021432 | -0.003624 | 0.000000 | 0.012550 | 0.008934 | 0.005707 | ... | -0.021093 | 0.000000 | 0.0 | -0.008473 | -0.001056 | 0.002446 | 0.000000 | 0.0 | 0.0 | -0.092834 |
| 2025-07-30 | 0.0 | -0.016704 | 0.0 | 0.0 | 0.021558 | -0.003667 | 0.000000 | 0.012781 | 0.008980 | 0.005981 | ... | -0.020719 | 0.000000 | 0.0 | -0.008513 | -0.001069 | 0.002473 | 0.000000 | 0.0 | 0.0 | -0.197975 |
| 2025-07-31 | 0.0 | -0.016792 | 0.0 | 0.0 | 0.024142 | -0.003738 | 0.000000 | 0.012964 | 0.009085 | 0.005857 | ... | -0.022318 | 0.000000 | 0.0 | -0.008617 | -0.001080 | 0.002473 | 0.000000 | 0.0 | 0.0 | -0.381629 |
| 2025-08-01 | 0.0 | -0.013315 | 0.0 | 0.0 | 0.021341 | -0.010651 | 0.000000 | 0.012004 | 0.013166 | 0.002100 | ... | -0.011762 | 0.000000 | 0.0 | -0.009793 | -0.001868 | -0.003822 | 0.000000 | 0.0 | 0.0 | -0.659373 |
1722 rows × 373 columns
cota_gross
date
2018-12-27 1.000000
2018-12-28 1.010756
2018-12-31 1.011383
2019-01-01 1.011300
2019-01-02 1.025733
...
2025-07-28 7.831819
2025-07-29 7.911016
2025-07-30 7.935254
2025-07-31 7.933287
2025-08-01 8.003103
Length: 1722, dtype: float64
cota_net
date
2018-12-27 1.000000
2018-12-28 1.010757
2018-12-31 1.011384
2019-01-01 1.011300
2019-01-02 1.025733
...
2025-07-28 7.828651
2025-07-29 7.907816
2025-07-30 7.932047
2025-07-31 7.930082
2025-08-01 7.999869
Length: 1722, dtype: float64
running sizing...
clusters_weights_resampled_sized
| beta | alfa | cdi | |
|---|---|---|---|
| 2018-12-27 | NaN | NaN | NaN |
| 2019-01-24 | 0.069618 | 0.056508 | -0.026127 |
| 2019-01-25 | 0.698681 | 0.560427 | -0.259108 |
| 2019-01-31 | 0.690059 | 0.584839 | -0.274898 |
| 2019-02-28 | 0.695379 | 0.584341 | -0.279721 |
| ... | ... | ... | ... |
| 2025-03-27 | 0.703975 | 0.585678 | -0.289653 |
| 2025-04-24 | 0.688190 | 0.599620 | -0.287810 |
| 2025-05-29 | 0.712339 | 0.595174 | -0.307513 |
| 2025-06-26 | 0.720790 | 0.604972 | -0.325762 |
| 2025-07-31 | 0.732803 | 0.622453 | -0.355256 |
107 rows × 3 columns
clusters_weights_sized
| beta | alfa | cdi | |
|---|---|---|---|
| date | |||
| 2018-12-27 | NaN | NaN | 1.000000 |
| 2018-12-28 | NaN | NaN | 1.000000 |
| 2018-12-31 | NaN | NaN | 1.000000 |
| 2019-01-01 | NaN | NaN | 1.000000 |
| 2019-01-02 | NaN | NaN | 1.000000 |
| ... | ... | ... | ... |
| 2025-07-28 | 0.718497 | 0.615522 | -0.334018 |
| 2025-07-29 | 0.718213 | 0.612631 | -0.330844 |
| 2025-07-30 | 0.715051 | 0.614961 | -0.330012 |
| 2025-07-31 | 0.732803 | 0.622453 | -0.355256 |
| 2025-08-01 | 0.733471 | 0.618880 | -0.352352 |
1722 rows × 3 columns
clusters_weights_sized (pack_only)
| usdbrlfut | spx_brl_hedged | dif3yfut | btcusd_brl_hedged | smal11_excdi | xauusd_brl_hedged | ls new | ust10y | lo_timing new | cdi | |
|---|---|---|---|---|---|---|---|---|---|---|
| date | ||||||||||
| 2018-12-27 | 0.000000 | 0.000000 | 0.000000 | 0.000000 | 0.000000 | 0.000000 | 0.000000 | 0.000000 | 0.000000 | 1.000000 |
| 2018-12-28 | 0.000000 | 0.000000 | 0.000000 | 0.000000 | 0.000000 | 0.000000 | 0.000000 | 0.000000 | 0.000000 | 1.000000 |
| 2018-12-31 | 0.000000 | 0.000000 | 0.000000 | 0.000000 | 0.000000 | 0.000000 | 0.000000 | 0.000000 | 0.000000 | 1.000000 |
| 2019-01-01 | 0.000000 | 0.000000 | 0.000000 | 0.000000 | 0.000000 | 0.000000 | 0.000000 | 0.000000 | 0.000000 | 1.000000 |
| 2019-01-02 | 0.000000 | 0.000000 | 0.000000 | 0.000000 | 0.000000 | 0.000000 | 0.000000 | 0.000000 | 0.000000 | 1.000000 |
| ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... |
| 2025-07-28 | -0.021426 | 0.231947 | 0.011150 | 0.125338 | -0.065648 | 0.239963 | 0.654175 | 0.452658 | 0.172552 | -0.876633 |
| 2025-07-29 | -0.005290 | 0.227762 | 0.215895 | 0.124207 | -0.065249 | 0.184466 | 0.650954 | 0.451981 | 0.171239 | -0.810609 |
| 2025-07-30 | -0.008836 | 0.230403 | 0.204147 | 0.125358 | -0.064278 | 0.089914 | 0.654993 | 0.640425 | 0.173306 | -0.914400 |
| 2025-07-31 | 0.022993 | 0.252889 | -0.143898 | 0.126298 | -0.062783 | 0.073533 | 0.666675 | 0.764739 | 0.218918 | -1.103051 |
| 2025-08-01 | -0.024441 | 0.243381 | 0.175209 | 0.110795 | -0.061602 | 0.164024 | 0.663162 | 1.024302 | 0.231990 | -1.437653 |
1722 rows × 10 columns
securities_weights
| sdia4 | hype3 | besp4 | bnca3 | grnd3 | alpa4 | alsc3 | fras3 | sanb11 | mglu3 | ... | usim5 | pard3 | aper3 | mult3 | bbdc4 | smft3 | brpr3 | aedu11 | espa3 | cdi | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| date | |||||||||||||||||||||
| 2018-12-27 | 0.0 | 0.000000 | 0.0 | 0.0 | 0.000000 | 0.000000 | 0.0 | 0.000000 | 0.000000 | 0.000000 | ... | 0.000000 | 0.0 | 0.0 | 0.000000 | 0.000000 | 0.000000 | 0.0 | 0.0 | 0.0 | 1.000000 |
| 2018-12-28 | 0.0 | 0.000000 | 0.0 | 0.0 | 0.000000 | 0.000000 | 0.0 | 0.000000 | 0.000000 | 0.000000 | ... | 0.000000 | 0.0 | 0.0 | 0.000000 | 0.000000 | 0.000000 | 0.0 | 0.0 | 0.0 | 1.000000 |
| 2018-12-31 | 0.0 | 0.000000 | 0.0 | 0.0 | 0.000000 | 0.000000 | 0.0 | 0.000000 | 0.000000 | 0.000000 | ... | 0.000000 | 0.0 | 0.0 | 0.000000 | 0.000000 | 0.000000 | 0.0 | 0.0 | 0.0 | 1.000000 |
| 2019-01-01 | 0.0 | 0.000000 | 0.0 | 0.0 | 0.000000 | 0.000000 | 0.0 | 0.000000 | 0.000000 | 0.000000 | ... | 0.000000 | 0.0 | 0.0 | 0.000000 | 0.000000 | 0.000000 | 0.0 | 0.0 | 0.0 | 1.000000 |
| 2019-01-02 | 0.0 | 0.000000 | 0.0 | 0.0 | 0.000000 | 0.000000 | 0.0 | 0.000000 | 0.000000 | 0.000000 | ... | 0.000000 | 0.0 | 0.0 | 0.000000 | 0.000000 | 0.000000 | 0.0 | 0.0 | 0.0 | 1.000000 |
| ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... |
| 2025-07-28 | 0.0 | -0.016898 | 0.0 | 0.0 | 0.021658 | -0.003646 | 0.0 | 0.012476 | 0.009054 | 0.005957 | ... | -0.021249 | 0.0 | 0.0 | -0.008461 | -0.001073 | 0.002493 | 0.0 | 0.0 | 0.0 | -0.156367 |
| 2025-07-29 | 0.0 | -0.016678 | 0.0 | 0.0 | 0.021521 | -0.003639 | 0.0 | 0.012602 | 0.008971 | 0.005731 | ... | -0.021181 | 0.0 | 0.0 | -0.008508 | -0.001060 | 0.002456 | 0.0 | 0.0 | 0.0 | -0.097388 |
| 2025-07-30 | 0.0 | -0.016777 | 0.0 | 0.0 | 0.021652 | -0.003683 | 0.0 | 0.012836 | 0.009019 | 0.006007 | ... | -0.020808 | 0.0 | 0.0 | -0.008550 | -0.001074 | 0.002484 | 0.0 | 0.0 | 0.0 | -0.203170 |
| 2025-07-31 | 0.0 | -0.016792 | 0.0 | 0.0 | 0.024142 | -0.003738 | 0.0 | 0.012964 | 0.009085 | 0.005857 | ... | -0.022318 | 0.0 | 0.0 | -0.008617 | -0.001080 | 0.002473 | 0.0 | 0.0 | 0.0 | -0.381629 |
| 2025-08-01 | 0.0 | -0.013318 | 0.0 | 0.0 | 0.021345 | -0.010653 | 0.0 | 0.012006 | 0.013168 | 0.002100 | ... | -0.011765 | 0.0 | 0.0 | -0.009795 | -0.001869 | -0.003822 | 0.0 | 0.0 | 0.0 | -0.659695 |
1722 rows × 373 columns
cota_gross_sized
date
2018-12-27 1.000000
2018-12-28 1.000246
2018-12-31 1.000492
2019-01-01 1.000492
2019-01-02 1.000739
...
2025-07-28 7.266929
2025-07-29 7.340694
2025-07-30 7.363262
2025-07-31 7.361410
2025-08-01 7.426194
Length: 1722, dtype: float64
cota_net_sized
date
2018-12-27 1.000000
2018-12-28 1.000246
2018-12-31 1.000492
2019-01-01 1.000492
2019-01-02 1.000739
...
2025-07-28 7.249036
2025-07-29 7.322619
2025-07-30 7.345133
2025-07-31 7.343289
2025-08-01 7.407913
Length: 1722, dtype: float64
alfa
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Year % | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| year | |||||||||||||
| 2016 | 4.6 | -0.6 | -1.5 | 2.9 | -0.6 | -1.3 | 3.4 | 2.8 | -2.0 | 5.2 | 0.5 | 3.3 | 16.7 |
| 2017 | 5.1 | 9.1 | -2.0 | 2.2 | -2.1 | -0.4 | 2.4 | -1.0 | 2.8 | 3.2 | 2.9 | 2.3 | 24.5 |
| 2018 | -0.9 | 10.1 | 3.5 | 0.7 | 8.6 | 7.6 | 0.3 | 6.7 | -0.1 | -3.8 | 1.4 | 3.7 | 37.8 |
| 2019 | 3.1 | 3.0 | 0.1 | 1.5 | 8.9 | 0.0 | 2.2 | 1.7 | -3.3 | 5.7 | 7.4 | 6.4 | 36.7 |
| 2020 | 5.9 | 6.4 | 6.4 | -1.2 | 0.5 | 0.0 | 2.0 | -3.8 | -1.5 | -0.0 | 0.4 | 4.8 | 19.9 |
| 2021 | -0.9 | 4.4 | 1.2 | 6.3 | 0.4 | -1.7 | 3.1 | 7.6 | 6.5 | 7.7 | -1.2 | 4.7 | 38.1 |
| 2022 | 0.2 | 2.8 | 3.3 | 4.1 | 4.5 | 1.5 | 0.1 | 0.3 | -2.2 | 1.7 | 5.6 | 1.9 | 23.8 |
| 2023 | 1.6 | 3.0 | -2.5 | -0.9 | -0.7 | 8.2 | -2.3 | 6.0 | 6.1 | 4.8 | 2.2 | 3.8 | 29.3 |
| 2024 | 2.9 | -2.5 | 0.1 | 3.9 | -0.7 | 6.6 | 0.3 | 10.5 | 2.4 | 2.6 | 6.3 | 3.0 | 35.4 |
| 2025 | -0.4 | 1.0 | 0.0 | -0.0 | 2.5 | 5.4 | 0.3 | 0.3 | – | – | – | – | 9.1 |
beta
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Year % | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| year | |||||||||||||
| 2016 | 1.9 | 10.8 | 1.8 | 3.8 | -1.8 | 10.7 | 4.9 | -3.2 | -2.1 | 2.6 | 0.1 | 9.5 | 39.0 |
| 2017 | 2.5 | 9.7 | -4.7 | 6.5 | 11.6 | 0.9 | 3.7 | 9.5 | -0.5 | 3.9 | 2.9 | 8.4 | 54.4 |
| 2018 | 5.6 | -5.2 | -3.7 | -0.4 | -2.0 | -0.2 | 1.1 | 0.7 | -2.2 | -1.4 | 2.0 | 8.7 | 3.0 |
| 2019 | 7.2 | -0.9 | 1.3 | 3.7 | 9.7 | 15.4 | -0.8 | 8.7 | -5.5 | -0.7 | 0.4 | 6.7 | 45.2 |
| 2020 | 8.5 | 1.4 | -1.0 | 2.7 | 2.5 | 2.7 | 11.2 | -0.1 | -6.2 | 0.5 | 4.8 | 8.2 | 35.2 |
| 2021 | -1.1 | 4.9 | 4.6 | 0.6 | 1.2 | -0.5 | 2.4 | -0.4 | -3.1 | 1.7 | -2.7 | 2.0 | 9.6 |
| 2022 | -0.9 | 1.4 | 2.1 | -1.8 | 1.6 | -2.8 | 2.4 | 0.9 | 0.8 | 1.2 | -0.4 | 0.6 | 5.1 |
| 2023 | 6.0 | -3.3 | 1.5 | 1.7 | 0.3 | 4.0 | 0.9 | -1.9 | 0.3 | 1.7 | 5.7 | 7.6 | 24.5 |
| 2024 | -2.9 | 6.2 | 7.4 | -2.9 | 0.6 | -0.6 | 3.4 | 0.7 | 3.9 | 1.2 | 2.1 | -2.7 | 16.4 |
| 2025 | 5.0 | -0.7 | 5.0 | 2.9 | 2.8 | 3.6 | -2.3 | 1.0 | – | – | – | – | 17.3 |
wealth
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Year % | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| year | |||||||||||||
| 2016 | 4.0 | 6.3 | -0.2 | 4.1 | -1.9 | 5.7 | 5.2 | -0.7 | -3.1 | 4.8 | 0.1 | 8.1 | 32.4 |
| 2017 | 4.7 | 12.3 | -4.7 | 5.5 | 5.8 | 0.1 | 3.8 | 5.2 | 1.3 | 4.5 | 3.7 | 6.9 | 49.1 |
| 2018 | 2.9 | 2.7 | -0.3 | 0.0 | 4.1 | 4.7 | 0.7 | 4.7 | -1.6 | -3.6 | 2.1 | 8.1 | 24.5 |
| 2019 | 6.7 | 1.0 | 0.8 | 3.3 | 11.8 | 9.7 | 1.0 | 6.2 | -5.8 | 3.5 | 5.3 | 8.3 | 51.8 |
| 2020 | 9.0 | 4.7 | 2.8 | 1.0 | 1.8 | 1.8 | 8.7 | -2.1 | -5.2 | 0.3 | 3.5 | 8.2 | 34.5 |
| 2021 | -1.3 | 5.9 | 4.2 | 5.2 | 0.9 | -1.9 | 3.7 | 5.3 | 2.5 | 6.3 | -2.9 | 4.1 | 32.0 |
| 2022 | -0.8 | 2.5 | 3.2 | 1.0 | 3.6 | -1.3 | 1.4 | 0.4 | -1.1 | 1.5 | 3.0 | 1.9 | 15.3 |
| 2023 | 4.3 | -0.8 | -1.0 | 0.2 | 0.0 | 8.5 | -1.1 | 2.0 | 4.1 | 4.3 | 6.4 | 9.0 | 35.9 |
| 2024 | -1.1 | 2.9 | 5.5 | -0.2 | -0.1 | 3.9 | 2.4 | 7.0 | 3.9 | 2.2 | 5.4 | -0.7 | 31.1 |
| 2025 | 3.3 | -0.2 | 3.0 | 2.1 | 3.9 | 5.3 | -2.1 | 0.9 | – | – | – | – | 16.2 |
Out[30]:
| usdbrlfut | dif3yfut | spx_brl_hedged | btcusd_brl_hedged | tc_cosmos_fic | smal11_excdi | xauusd_brl_hedged | ls new | ust10y | lo_timing new | cdi | |
|---|---|---|---|---|---|---|---|---|---|---|---|
| 2025-07 | -0.15 | -0.37 | 0.36 | 1.17 | -0.06 | 0.22 | -0.31 | 0.54 | -0.87 | -1.18 | -1.4 |
Total: 213.67446446418762
Exporting Prepare¶
Previdência¶
Total: 11.022440910339355
ntnb_lo
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Year % | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| year | |||||||||||||
| 2019 | 2.7 | 0.5 | 0.9 | 1.2 | 2.7 | 3.1 | 1.0 | 0.0 | 2.6 | 2.8 | -1.5 | 1.4 | 17.4 |
| 2020 | 1.1 | 0.9 | -3.8 | 1.1 | 3.5 | 1.6 | 2.7 | -1.1 | -1.1 | -0.4 | 1.8 | 4.3 | 10.6 |
| 2021 | -0.8 | -2.2 | -0.6 | 1.5 | 0.5 | -0.0 | -0.6 | -0.4 | 0.2 | -1.9 | 3.4 | 1.2 | 0.3 |
| 2022 | -0.5 | 0.3 | 3.4 | 0.6 | 1.1 | 0.2 | -0.8 | 0.9 | 0.6 | 1.5 | -0.8 | -0.0 | 6.5 |
| 2023 | 0.8 | 1.6 | 2.6 | 1.7 | 2.7 | 1.6 | 0.7 | 0.0 | -1.1 | -1.1 | 2.9 | 2.2 | 14.6 |
| 2024 | -0.2 | 0.7 | 0.0 | -1.8 | 1.3 | -0.7 | 1.6 | 0.6 | -0.5 | -0.3 | -0.5 | -2.3 | -2.1 |
| 2025 | 1.8 | 0.4 | 1.9 | 3.1 | 0.8 | 0.8 | -0.8 | 0.0 | – | – | – | – | 8.0 |
dif8yfut_av_timing
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Year % | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| year | |||||||||||||
| 2019 | 2.8 | -0.4 | -1.6 | -1.5 | 1.8 | 8.2 | 2.0 | -1.5 | 1.8 | 5.0 | 0.6 | -0.4 | 16.8 |
| 2020 | 0.5 | 0.1 | 0.1 | -4.9 | 1.3 | 0.2 | 3.5 | -4.1 | -0.5 | -0.8 | -3.1 | 5.8 | -1.9 |
| 2021 | -1.0 | 4.7 | 0.9 | -0.7 | 0.9 | -0.7 | 1.6 | 6.4 | 2.6 | 6.3 | -1.7 | 2.5 | 21.8 |
| 2022 | -0.3 | -1.5 | 6.2 | 2.6 | -1.3 | 3.2 | 3.2 | 3.6 | -1.9 | -0.5 | 6.6 | 1.9 | 21.8 |
| 2023 | -2.1 | 0.3 | 2.7 | 4.1 | 5.4 | 6.3 | -1.5 | -2.3 | 2.5 | 0.6 | 2.6 | 3.7 | 22.3 |
| 2024 | -1.2 | -0.6 | 0.4 | 5.2 | -0.5 | 1.9 | -0.8 | 1.0 | 1.7 | 1.5 | 3.9 | 5.3 | 17.8 |
| 2025 | -1.7 | 1.4 | -0.0 | 3.4 | 0.7 | 3.4 | -1.3 | -0.3 | – | – | – | – | 5.6 |
prev
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Year % | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| year | |||||||||||||
| 2019 | 3.2 | -0.2 | -0.7 | -0.5 | 2.5 | 7.2 | 1.8 | -1.1 | 2.4 | 4.8 | -0.4 | 0.4 | 19.4 |
| 2020 | 0.8 | 0.4 | -1.6 | -3.0 | 2.6 | 0.9 | 3.8 | -3.5 | -0.9 | -0.8 | -1.3 | 6.2 | 3.6 |
| 2021 | -1.1 | 2.1 | 0.4 | 0.2 | 0.8 | -0.5 | 0.8 | 4.2 | 1.8 | 3.3 | 0.4 | 2.2 | 14.6 |
| 2022 | -0.6 | -1.1 | 5.9 | 2.0 | -0.5 | 2.1 | 1.7 | 2.8 | -1.3 | 0.2 | 4.0 | 1.1 | 16.3 |
| 2023 | -1.3 | 0.8 | 2.9 | 3.5 | 4.9 | 5.0 | -0.9 | -1.8 | 1.0 | -0.3 | 3.1 | 3.5 | 20.4 |
| 2024 | -1.2 | -0.3 | 0.1 | 2.5 | 0.1 | 0.8 | 0.1 | 0.9 | 0.8 | 0.8 | 2.3 | 2.4 | 9.3 |
| 2025 | -0.5 | 1.0 | 0.7 | 3.7 | 0.6 | 2.6 | -1.6 | -0.2 | – | – | – | – | 6.3 |
Exporting¶
Out[37]:
| 2025-08-01 | essencial | prev |
|---|---|---|
| bitfut | 0.1108 | 0.000000 |
| bova11 | -0.0000 | 0.000000 |
| cdi | 0.6300 | 0.500000 |
| cosmos | 0.1500 | 0.000000 |
| dif3yfut | 0.1752 | 0.000000 |
| dif8yfut | 0.0000 | 0.510701 |
| gold11 | 0.1640 | 0.000000 |
| ibovfut | 0.0000 | 0.000000 |
| lo_timing new | 0.2319 | 0.000000 |
| ls new | 0.6630 | 0.000000 |
| ntnb5y_idka | 0.0000 | 0.500000 |
| smal11 | -0.0616 | 0.000000 |
| spxfut | 0.2433 | 0.000000 |
| usdbrlfut | -0.0244 | 0.000000 |
| ust10yfut | 1.0241 | 0.000000 |
Out[38]:
| 2025-07-31 | essencial | prev |
|---|---|---|
| bitfut | 0.1263 | 0.000000 |
| bova11 | -0.0000 | 0.000000 |
| cdi | 0.6800 | 0.500000 |
| cosmos | 0.1500 | 0.000000 |
| dif3yfut | -0.1439 | 0.000000 |
| dif8yfut | 0.0000 | -0.495322 |
| gold11 | 0.0735 | 0.000000 |
| ibovfut | 0.0000 | 0.000000 |
| lo_timing new | 0.2189 | 0.000000 |
| ls new | 0.6667 | 0.000000 |
| ntnb5y_idka | 0.0000 | 0.500000 |
| smal11 | -0.0628 | 0.000000 |
| spxfut | 0.2529 | 0.000000 |
| usdbrlfut | 0.0230 | 0.000000 |
| ust10yfut | 0.7647 | 0.000000 |
Total: 229.97473621368408
Total: 246.539972782135